Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is widely viewed as puzzling. Importantly however, in addition to direct price risks, jumps may also trigger simultaneous changes in other distributional features of asset returns. We develop...

We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility...