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| Volume 9, No. 1,
April 2010 |
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Jump Distribution
Characteristics: |
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Evidence from European Stock
Markets |
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Thierry Ané |
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Finance Department, University
of Reims, France |
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Carole Métais |
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DRM Finance, University Paris
Dauphine, France |
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| Abstract |
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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 – intensity and size – for three leading
European stock market indexes. |
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Key words:
realized volatility; jumps; bipower variation; stock market indexes |
| JEL
classification:
C14; C51; G11 |
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