While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the … estimates time-varying volatility robustly to jumps.  We improve the scope and efficiency of multipower variation by the use of …

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the … estimates time-varying volatility robustly to jumps. We improve the scope and efficiency of multipower variation by the use of a …

the first-order asymptotic validity of this method in the multivariate context with a potential presence of jumps …

effects, this paper suggests a model in which market prices adjust gradually to jumps in the underlying effcient price. A case …