High Frequency Jump Characteristics of Financial Asset Prices
نویسنده
چکیده
There is evidence that the conventional, continuous underlying function model of financial asset pricing can be improved by adding a discontinuous jump component. Barndorff-Nielsen and Shephard (2004) propose a method of detecting these jumps that compares different estimators of quadratic variation. This paper applies that detection method to the common stock of Altria Group, Inc. and attempts to link detected jumps with news events, variance and trading volume, jumps in other assets, and previous jumps. The detected jumps are stochastic, at least to the best of our knowledge. These results imply potential advantages to modeling jumps and continuous variance independently.
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