An extensive empirical literature documents a generally negative relation, named the leverage effect, between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps in high-frequency data. We propose new nonparametric methods...

The paper proposes a new class of continuous-time asset pricing models where whenever there is a negative jump in asset returns, it is simultaneously passed on to diffusion variance and the jump intensity, generating co-jumps of prices and volatility and jump clustering. To properly deal with...

The paper proposes a new class of continuous-time asset pricing models where negative jumps play a crucial role. Whenever there is a negative jump in asset returns, it is simultaneously passed on to diffusion variance and the jump intensity, generating self-exciting co-jumps of prices and...

The paper proposes a new class of continuous-time asset pricing models where negative jumps play a crucial role. Whenever there is a negative jump in asset re- turns, it is simultaneously passed on to diffusion variance and the jump intensity, generating self-exciting co-jumps of prices and...