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New Evidence of the Marginal Predictive Content of Small and Large Jumps

https://doi.org/10.2139/ssrn.3440320
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inferredcites →https://doi.org/10.1007/978-3-540-30788-4_3openalex-extracted
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
inferredcites →https://doi.org/10.1016/j.jeconom.2017.08.017openalex-extracted
Mixed-scale jump regressions with bootstrap inference
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.011openalex-extracted
Jump risk, stock returns, and slope of implied volatility smile
inferredcites →https://doi.org/10.1016/j.jfineco.2015.02.010openalex-extracted
Tail risk premia and return predictability
inferredcites →https://doi.org/10.1016/j.spa.2007.05.005openalex-extracted
Asymptotic properties of realized power variations and related functionals of semimartingales
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/s0022109013000513openalex-extracted
Stock Price Jumps and Cross-Sectional Return Predictability
inferredcites →https://doi.org/10.1080/14697680802595643openalex-extracted
Does beta react to market conditions? Estimates of ‘bull’ and ‘bear’ betas using a nonlinear market model with an endogenous threshold parameter
inferredcites →https://doi.org/10.1093/jjfinec/nbh001openalex-extracted
Power and Bipower Variation with Stochastic Volatility and Jumps
inferredcites →https://doi.org/10.1093/rfs/hhv015openalex-extracted
Modeling Covariance Risk in Merton's ICAPM
inferredcites →https://doi.org/10.1093/rof/rfr024openalex-extracted
Modeling Market Downside Volatility
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-extracted
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1111/j.1467-9469.2008.00622.xopenalex-extracted
Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
inferredcites →https://doi.org/10.1111/j.1475-679x.2006.00196.xopenalex-extracted
Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts
inferredcites →https://doi.org/10.1162/rest.89.4.701openalex-extracted
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
inferredcites →https://doi.org/10.1257/jel.50.4.1007openalex-extracted
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
inferredcites →https://doi.org/10.17016/feds.2015.020openalex-extracted
Downside Variance Risk Premium
inferredcites →https://doi.org/10.2139/ssrn.2515212openalex-extracted
Good Jumps, Bad Jumps, and Conditional Equity Premium
inferredcites →https://doi.org/10.2307/2491062openalex-extracted
Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
inferredcites →https://doi.org/10.3905/jpm.2016.42.3.114openalex-extracted
The Economic Value of Forecasting Left-Tail Risk
inferredcites →https://doi.org/10.3982/ecta9240openalex-extracted
Estimation of Jump Tails
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.042openalex-snapshot
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
inferredcites →https://doi.org/10.1016/j.jfineco.2015.02.009openalex-snapshot
Does realized skewness predict the cross-section of equity returns?
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00648.xopenalex-snapshot
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
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