We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...

We propose a new and flexible non-parametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple-to-implement set of estimating equations associated with the compensator for the jump measure, or its "intensity", that only...

It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution, and that the fat tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular ARCH and stochastic volatility models. We consider two...

I provide a selective review of recent developments in financial econometrics related to measuring, modeling, forecasting and pricing “good” and “bad” volatilities based on realized variation type measures constructed from high-frequency intraday data. An especially appealing feature of...

Based on intraday data for a large cross-section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or “good” and “bad” volatilities, associated...

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

This paper provides a simple theoretical framework for assessing the empirical linkages between returns and realized and implied volatilities. First, we show that whereas the volatility feedback effect as measured by the sign of the correlation between contemporaneous return and realized...

Jumps in asset prices are ubiquitous, yet the apparent high price of jump risk observed empirically is widely viewed as puzzling. Importantly however, in addition to direct price risks, jumps may also trigger simultaneous changes in other distributional features of asset returns. We develop...

We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the variance...