jumps over a grid of thresholds and selects the optimal threshold at what we term the 'take-off' point in the estimated … number of jumps. We show that this method consistently estimates the jumps and their indices as the sampling interval goes to … jumps and its ability to distinguish between true jumps and large diffusive moves. In one of these Monte Carlo studies we …

. Investors prefer stocks with a high probability of having positive jumps, but they also tend to overweight safer industries …, even when controlling for these variables. By analyzing earnings announcement surprises, we find that large jumps are … subsequent weekly returns. Finally, we find that small jumps are more likely to be diversified away than large jumps and tend to …

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in … the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the … implications of these findings, and 'time-span robust' tests indicate that the prevalence of jumps is not as universal as might be …

estimators and use simulations to show that they behave adequately in the presence of jumps and heteroskedastic and heavy …