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...
| Hlavní autoři: | , |
|---|---|
| Médium: | Journal article |
| Vydáno: |
Taylor and Francis
2014
|