We empirically explore the role of investor disagreement and news for various types of stock jumps, where the dynamic of stock returns is captured by a contagion model. Our disagreement measure is derived from more than 173 million tweets from a social media investing platform, StockTwits, for...

We develop a novel class of time-changed Lévy models which are tractable and readily applicable, capture the leverage effect, and exhibit pure jump processes with finite or infinite activity. Our models feature four nested processes reflecting market, volatility and jump risks, and observation...