Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

10.1093/rfs/9.2.385

10.1016/j.jfineco.2003.09.005

Aït-Sahalia Y. Jacod J. Fisher's Information for Discretely Sampled Levy Processes. 2005. Working Paper, Department of Economics, Princeton University.

Aldous D. Probability Approximations via the Poisson Clumping Heuristic. New York: Springer-Verlag; 1989.

10.1257/000282803321455151

Andersen, 2006, No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps, and i.i.d. Noise: Theory and Testable Distributional Implications, Journal of Econometrics, 138, 125, 10.1016/j.jeconom.2006.05.018

10.2307/2329472

10.1016/S0304-4076(99)00023-8

10.1093/rfs/16.1.0101

10.1016/j.jfineco.2005.09.005

10.1093/jjfinec/nbh001

10.1093/jjfinec/nbi022

10.1093/rfs/9.1.69

10.1016/S0304-4076(99)00021-4

10.1287/opre.49.3.372.11218

10.1016/S0304-405X(03)00171-5

10.1016/S0304-4076(03)00108-8

Collin-Dufresne P. Hugonnier J. Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty. 2001. Working Paper, Tepper School of Business, Carnegie Mellon University.

10.2307/1911242

Dubinsky A. Johannes M. Earnings Announcements and Option Prices. 2006. Working Paper, Graduate School of Business, Columbia University.

10.1111/1468-0262.00164

10.1111/1540-6261.00566

Galambos J. The Asymptotic Theory of Extreme Order Statistics. New York: John Wiley & Sons; 1978.

10.1007/BF01844607

10.1093/rfs/6.2.327

Jiang G. J. Oomen R. A New Test for Jumps in Asset Prices. 2005. Working Paper, Eller College of Management, University of Arizona.

10.1111/j.1540-6321.2004.00632.x

Kloeden P. E. Platen E. Numerical Solution of Stochastic Differential Equations. New York: Springer-Verlag; 1992.

10.1111/1540-6261.00523

10.1016/0304-405X(76)90022-2

10.1214/aop/1176989268

10.1214/009053606000000452

10.1093/rfs/3.4.493

10.1016/S0304-405X(01)00088-5

Piazzesi, 2003, Bond Yields and the Federal Reserve, Journal of Political Economy, 113, 311, 10.1086/427466

Pollard D. A User's Guide of Measure Theoretic Probability. Cambridge: Cambridge University Press; 2002.

Protter P. Stochastic Integration and Differential Equations: A New Approach. New York: Springer; 2004.

Ross S. M. Stochastic Processes. New York: John Wiley & Sons; 1995.

Schaumburg E. Ph.D. Thesis. 2001. Maximum Likelihood Estimation of Jump Processes with Applications to Finance. Department of Economics, Princeton University.

Tauchen G. Zhou H. Identifying Realized Jumps on Financial Markets. 2005. Working Paper, Department of Economics, Duke University.

10.1086/500681

Zhang L. Mykland P. A. Aït-Sahalia Y. Edgeworth Expansions for Realized Volatility and Related Estimators. 2005. Working Paper, University of Illinois at Chicago.

Zhang, 2005, A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data, Journal of American Statistical Association, 472, 1394, 10.1198/016214505000000169