Supplementary Material of On the Estimation of Jump-Diffusion Models Using Intraday Data : A Filtering-Based Approach

We adopt a flexible filtering procedure to extract information from high-frequency data. Specifically, we provide a parsimonious framework to integrate realized measures from high frequency index and derivative prices. In a simulation study, we document the incremental information offered by realized measures and show that even though high-frequency index prices help identify spot variance and jump price dynamics, it is the addition of high-frequency option prices that enables variance jumps to be identified. A series of empirical studies based on the S&P 500 index and options show that estimation precision improves with the addition of information from intraday option prices