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...

書目詳細資料
Main Authors:	Cartea, Á, Karyampas, D
格式:	Journal article
出版:	Taylor and Francis 2014

相似書籍

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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