assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …-data models at 5% and 1% VaR level. Specifically, independently from the data frequency, allowing for jumps in price (or providing …

volatility ; multipower variation ; tripower variation ; truncated power variation ; quarticity ; infinite activity jumps … variables. We then provide empirical evidence on "small" and "large" jumps from the perspective of their contribution to overall …, Bollerslev and Diebold (2007) and Ai͏̈t-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days …

variation ; truncated power variation ; quarticity ; infinite activity jumps … (2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price … returns on 25 stocks in the DOW 30 and S&P futures index. In particular, we examine jumps from both the perspective of their …

. Thereafter, we discuss testing for jumps using said estimators. Finally, we discuss recent advances in testing for co-jumps. Such … co-jumps are important for a number of reasons. For example, the presence of co-jumps, in contexts where data has been … presence of co-jumps across sectors, say, suggests that if jumps can be predicted in one sector, then such predictions may have …