We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a short time interval is negligible, the bursting...

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and...

Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. We harness staleness-robust estimators to re-appraise the statistical features of jumps in financial markets. We find that jumps are much less frequent and...

We show how to minimize the asymptotic variance of multipower estimators using a linear combination of optimal powers. Taking advantage of the lower variance provided by this technique allows to build superior estimators of integrated volatility powers. In particular, we focus on a new efficient...

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in...

Do competition and incentives offered to designated market makers (DMMs) improve market liquidity? Using data from the NYSE Euronext Paris, we show that an exogenous increase in competition among DMMs leads to a significant decrease in quoted and effective spreads, mainly through a reduction in...