Current price jump tests assume a constant intra-day volatility pattern (IVP) over sample period. We test this assumption by allowing IVP to depend on some state variables such as the sign of previous returns or the relative levels of volatility. Estimation results from 5-minute GARCH model for...

Current price jump tests assume a constant intra-day volatility pattern (IVP) over sample period. We test this assumption by allowing IVP to depend on the sign of returns from day t-1 or overnight returns. Estimation results from 5-minute GARCH for four equity indices show that...

Jumps in high-frequency financial prices are identified by an enhanced non-parametric method and their empirical intensities are investigated. A point-process framework is used to estimate the degree of clustering among the detected jumps. We compare several clustering functions of the jump...

A simple, empirical-based approach to decompose Realized Variance (RV) is proposed, with supportive theoretical argument and empirical evidence. Under the proposed framework, RV is interpreted as a product of the intensity and variance of relevant price changes. Holding the variance aspect...

We investigate the ways in which non-parametric jumps in asset prices can be incorporated into a FIEGARCH model. At intraday level, jumps detected by the statistics of Andersen, Bollerslev and Dobrev (2007) are shown to contain incremental information in in-sample forecasting of conditional...

We investigate the ways in which non-parametric jumps in asset prices can be incorporated into a FIEGARCH model. At intra-day level, jumps detected by the statistics of Andersen, Bollerslev and Dobrev (2007) are shown to contain incremental information in in-sample forecasting of conditional...