Jump Distribution Characteristics: Evidence from European Stock Markets

Thierry Ane and Carole Metais
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Thierry Ane: Finance Department, University of Reims, France
Carole Metais: DRM Finance, University Paris Dauphine, France

International Journal of Business and Economics, 2010, vol. 9, issue 1, 1-22

Abstract: A comparison of the realized variance and the realized bipower variation provides a nonparametric estimation of the sum of all the intraday squared jump sizes. To recover individual jumps from this overall contribution to the quadratic variation, one needs to estimate both the number of jumps per day and their respective size. We provide a framework to do so and analyze the unconditional distributional properties of the two components of a jump ¡V intensity and size ¡V for three leading European stock market indexes.

Keywords: realized volatility; jumps; bipower variation; stock market indexes (search for similar items in EconPapers)
JEL-codes: C14 C51 G11 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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