The speed of convergence of the truncated realized covariance to the integrated covariation between the Brownian parts of two semimartingales is heavily influenced by the presence of infinite activity jumps with infinite variation. Namely, the two small jumps processes play a crucial role...

Do hedge funds hedge? In negative states of the world, often not as much as they should. For several styles, we report larger market betas when market returns are low (i.e., “beta in the tails”). We justify this finding through a combination of negative-mean jumps in the market returns and...