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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Cartea, Á, Karyampas, D
Fformat:	Journal article
Cyhoeddwyd:	Taylor and Francis 2014

Eitemau Tebyg

Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets
gan: Hassan Zada, et al.
Cyhoeddwyd: (2021-06-01)

Forecasting Return Volatility of the CSI 300 Index Using the Stochastic Volatility Model with Continuous Volatility and Jumps
gan: Xu Gong, et al.
Cyhoeddwyd: (2014-01-01)

Exploring the Relationship between Financial Ratios and Market Stock Returns
gan: Sami RM MUSALLAM
Cyhoeddwyd: (2018-05-01)

Stock returns, volatility and mean reversion in emerging and developed financial markets
gan: Rizwan Raheem Ahmed, et al.
Cyhoeddwyd: (2018-05-01)

The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market
gan: Sarika MAHAJAN, et al.
Cyhoeddwyd: (2009-11-01)

Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility
gan: Irshad Hira
Cyhoeddwyd: (2017-08-01)

Metal Returns, Stock Returns and Stock Market Volatility
gan: Mauricio Zevallos, et al.
Cyhoeddwyd: (2015-08-01)

Testing for jumps and cojumps in financial markets
gan: Ju, Cheng, S.M. Massachusetts Institute of Technology
Cyhoeddwyd: (2010)

On the Return-volatility Relationship in the Bitcoin Market Around the Price Crash of 2013
gan: Elie Bouri, et al.
Cyhoeddwyd: (2016-10-01)

On the return-volatility relationship in the Bitcoin market around the price crash of 2013
gan: Elie Bouri, et al.
Cyhoeddwyd: (2017-02-01)

Online drift estimation for jump-diffusion processes
gan: Bhudisaksang, T, et al.
Cyhoeddwyd: (2021)

Implied volatility and future market return
gan: Ping Hsiao, et al.
Cyhoeddwyd: (2010-09-01)

Volatility of returns and financial liberalization:new evidence
gan: Tamat Sarmidi,, et al.
Cyhoeddwyd: (2012)

Volatility of returns and financial liberalization: new evidence
gan: Sarmidi, Tamat, et al.
Cyhoeddwyd: (2012)

Jump test and Estimate the Size and Probability of Jump in the Stock Market Using Stochastic Volatility Models
gan: Alireza Najjarpour, et al.
Cyhoeddwyd: (2022-05-01)

Volatility spillovers between energy market and international financial markets
gan: Ioannis Tsakalos, et al.
Cyhoeddwyd: (2015-08-01)

Automation, Stock Market Volatility and Risk-Return Relationship: Evidence from "CATS"
gan: Ata Assaf
Cyhoeddwyd: (2005-08-01)

The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility
gan: Gang He, et al.
Cyhoeddwyd: (2020-01-01)

Day-of-the-Week Effect and Volatility in Stock Returns: Evidence From East Asian Financial Markets
gan: Ndu, Chiaku Chukwuogor
Cyhoeddwyd: (2006)

Geopolitical Risks, Returns, and Volatility in the Mena Financial Markets: Evidence From Garch and Egarch Models
gan: Omar Gharaibeh
Cyhoeddwyd: (2023-07-01)

Day-of-the-Week Effect and Volatility in Stock Returns: Evidence From East Asian Financial Markets
gan: Chiaku Chukwuogor-Ndu
Cyhoeddwyd: (2008-03-01)

The Risk-Return Relationship Dynamics of Iran’s Stock Market: New Evidence Using GARCH-JUMP Model
gan: Saeed Rasekhi, et al.
Cyhoeddwyd: (2016-03-01)

Return and volatility spillovers between the US, Japanese and Malaysian stock markets
gan: Lida Nikmanesh,, et al.
Cyhoeddwyd: (2014)

Volatility Spillover of Brent Oil Price Return on Return of Iran and USA Financial Markets and Related Industries: A MGARCH Approach
gan: Hossein Tavakolian, et al.
Cyhoeddwyd: (2016-12-01)

To jump or not to jump: momentum of jumps in crude oil price volatility prediction
gan: Yaojie Zhang, et al.
Cyhoeddwyd: (2022-06-01)

The relationship between corporate forward-looking disclosure and stock return volatility
gan: Gehan A. Mousa, et al.
Cyhoeddwyd: (2018-07-01)

The Relationship between Financial Reporting Quality and Idiosyncratic Stock Return Volatility Among Companies Listed on Tehran Stock Exchange
gan: AbdolKarim Moghaddam, et al.
Cyhoeddwyd: (2012-03-01)

The dynamic relationship between trading volume, stock return, and volatility-domestic and cross-country: South Asian markets
gan: Miseman, M. R., et al.
Cyhoeddwyd: (2019)

The Dynamic Relationship Between Trading Volume, Stock Return, and Volatility-Domestic and Cross-Country : South Asian Markets
gan: M.R. Miseman
Cyhoeddwyd: (2019-02-01)

The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia
gan: Mohammad Alsharif
Cyhoeddwyd: (2020-07-01)

The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia
gan: Mohammad Alsharif
Cyhoeddwyd: (2020-07-01)

The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia
gan: Mohammad Alsharif
Cyhoeddwyd: (2020-07-01)

Return, shock and volatility spillovers between the bond markets of Turkey and developed countries
gan: Selçuk BAYRACI
Cyhoeddwyd: (2018-09-01)

Returns and volatility spillover between Asian equity markets: A wavelet approach
gan: Kumar Anoop S., et al.
Cyhoeddwyd: (2017-01-01)

Realized volatility and absolute return volatility: a comparison indicating market risk.
gan: Zeyu Zheng, et al.
Cyhoeddwyd: (2014-01-01)

Volatility transmission in the Nigerian financial market
gan: Ismail O. Fasanya, et al.
Cyhoeddwyd: (2019-06-01)

Development of Instrumental Approaches to Forecasting the Volatility of the Return of Financial Assets
gan: John Guyomey, et al.
Cyhoeddwyd: (2023-07-01)

Financial Twitter Sentiment on Bitcoin Return and High-Frequency Volatility
gan: Xiang Gao, et al.
Cyhoeddwyd: (2021-01-01)

The time series behavior of stock market volatility and returns
gan: Nelson, Daniel B
Cyhoeddwyd: (2005)

Volatility and returns of the New Third Board market in China
gan: Weiping Li, et al.
Cyhoeddwyd: (2016-12-01)