The relationship between the volatility of returns and the number of jumps in financial markets

The relationship between the volatility of returns and the number of jumps in financial markets

We propose a methodology to employ high frequency financial data to obtain estimates of volatility of log-prices which are not affected by microstructure noise and Lévy jumps. We introduce the “number of jumps” as a variable to explain and predict volatility and show that the number of jumps in SPY...

書誌詳細
主要な著者:	Cartea, Á, Karyampas, D
フォーマット:	Journal article
出版事項:	Taylor and Francis 2014

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