On the public citation graph

Jumps versus bursts: distinguishing sources of extreme risk in financial markets *

https://doi.org/10.2139/ssrn.5199540

0 signed · 71 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.

Claim with ORCID

Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.

See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-319-18329-9openalex-snapshot

Stable Convergence and Stable Limit Theorems

inferredcites →https://doi.org/10.1007/s00181-022-02353-yopenalex-snapshot

Information loss in volatility measurement with flat price trading

inferredcites →https://doi.org/10.1007/s00780-008-0087-3openalex-snapshot

Central limit theorem for the realized volatility based on tick time sampling

inferredcites →https://doi.org/10.1016/j.finmar.2013.05.004openalex-snapshot

Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks

inferredcites →https://doi.org/10.1016/j.jbankfin.2011.02.018openalex-snapshot

Intraday jumps and US macroeconomic news announcements

inferredcites →https://doi.org/10.1016/j.jeconom.2006.05.018openalex-snapshot

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

inferredcites →https://doi.org/10.1016/j.jeconom.2008.01.006openalex-snapshot

Risk, jumps, and diversification

inferredcites →https://doi.org/10.1016/j.jeconom.2008.09.016openalex-snapshot

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error

inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.012openalex-snapshot

Estimating Covariation: Epps Effect, Microstructure Noise

inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.028openalex-snapshot

Ultra high frequency volatility estimation with dependent microstructure noise

inferredcites →https://doi.org/10.1016/j.jeconom.2012.01.011openalex-snapshot

Jump-robust volatility estimation using nearest neighbor truncation

inferredcites →https://doi.org/10.1016/j.jeconom.2015.12.005openalex-snapshot

Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

inferredcites →https://doi.org/10.1016/j.jeconom.2016.05.002openalex-snapshot

Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?

inferredcites →https://doi.org/10.1016/j.jeconom.2016.10.004openalex-snapshot

Estimation of integrated quadratic covariation with endogenous sampling times

inferredcites →https://doi.org/10.1016/j.jeconom.2017.05.015openalex-snapshot

Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data

inferredcites →https://doi.org/10.1016/j.jeconom.2018.09.004openalex-snapshot

Large-Dimensional Factor Modeling Based on High-Frequency Observations

inferredcites →https://doi.org/10.1016/j.jeconom.2019.01.001openalex-snapshot

Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book

inferredcites →https://doi.org/10.1016/j.jeconom.2019.01.015openalex-snapshot

Simulated likelihood estimators for discretely observed jump–diffusions

inferredcites →https://doi.org/10.1016/j.jeconom.2020.03.012openalex-snapshot

High-frequency jump tests: Which test should we use?

inferredcites →https://doi.org/10.1016/j.jeconom.2020.05.013openalex-snapshot

Occupation density estimation for noisy high-frequency data

inferredcites →https://doi.org/10.1016/j.jeconom.2020.11.004openalex-snapshot

The Drift Burst Hypothesis

inferredcites →https://doi.org/10.1016/j.jeconom.2021.02.007openalex-snapshot

Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps

inferredcites →https://doi.org/10.1016/j.jeconom.2023.01.026openalex-snapshot

Stock co-jump networks

inferredcites →https://doi.org/10.1016/j.jeconom.2024.105669openalex-snapshot

Volatility of volatility and leverage effect from options

inferredcites →https://doi.org/10.1016/j.jempfin.2016.03.001openalex-snapshot

Public news arrival and the idiosyncratic volatility puzzle

inferredcites →https://doi.org/10.1016/j.jfineco.2013.02.018openalex-snapshot

The leverage effect puzzle: Disentangling sources of bias at high frequency

inferredcites →https://doi.org/10.1016/j.jfineco.2014.07.007openalex-snapshot

Fact or friction: Jumps at ultra high frequency

inferredcites →https://doi.org/10.1016/j.jfineco.2021.08.002openalex-snapshot

News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies

inferredcites →https://doi.org/10.1016/j.spa.2007.05.005openalex-snapshot

Asymptotic properties of realized power variations and related functionals of semimartingales

inferredcites →https://doi.org/10.1016/j.spa.2012.08.005openalex-snapshot

Central limit theorems for realized volatility under hitting times of an irregular grid

inferredcites →https://doi.org/10.1016/j.spa.2013.04.002openalex-snapshot

Volatility inference in the presence of both endogenous time and microstructure noise

inferredcites →https://doi.org/10.1016/s0304-4076(03)00108-8openalex-snapshot

Alternative models for stock price dynamics

inferredcites →https://doi.org/10.1017/s0022109019000802openalex-snapshot

Shorting in Broad Daylight: Short Sales and Venue Choice

inferredcites →https://doi.org/10.1017/s0266466613000418openalex-snapshot

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS

inferredcites →https://doi.org/10.1080/01621459.2013.864189openalex-snapshot

The Estimation of Leverage Effect With High-Frequency Data

inferredcites →https://doi.org/10.1080/01621459.2016.1141687openalex-snapshot

Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency

inferredcites →https://doi.org/10.1080/01621459.2016.1240082openalex-snapshot

Estimation of the Continuous and Discontinuous Leverage Effects

inferredcites →https://doi.org/10.1080/07350015.2017.1328362openalex-snapshot

Rank Tests at Jump Events

inferredcites →https://doi.org/10.1080/07350015.2023.2203207openalex-snapshot

Jumps or Staleness?

inferredcites →https://doi.org/10.1093/jjfinec/nbab006openalex-snapshot

Volatility Estimation and Forecasts Based on Price Durations

inferredcites →https://doi.org/10.1093/jjfinec/nbac015openalex-snapshot

News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach

inferredcites →https://doi.org/10.1093/jjfinec/nbi022openalex-snapshot

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

inferredcites →https://doi.org/10.1093/jjfinec/nbi025openalex-snapshot

The Relative Contribution of Jumps to Total Price Variance

inferredcites →https://doi.org/10.1093/jjfinec/nbm020openalex-snapshot

Modeling a Multivariate Transaction Process

inferredcites →https://doi.org/10.1093/restud/rdy003openalex-snapshot

Volume, Volatility, and Public News Announcements

inferredcites →https://doi.org/10.1093/rfs/6.1.191openalex-snapshot

Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement

inferredcites →https://doi.org/10.1093/rfs/hhm056openalex-snapshot

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

inferredcites →https://doi.org/10.1111/1468-0262.t01-1-00416openalex-snapshot

The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions

inferredcites →https://doi.org/10.1111/j.1368-423x.2008.00275.xopenalex-snapshot

Realized kernels in practice: trades and quotes

inferredcites →https://doi.org/10.1111/j.1467-937x.2008.00474.xopenalex-snapshot

Microstructure Noise, Realized Variance, and Optimal Sampling

inferredcites →https://doi.org/10.1111/j.1467-9965.2010.00454.xopenalex-snapshot

VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb02608.xopenalex-snapshot

Estimation Bias Induced by Discrete Security Prices

inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb03949.xopenalex-snapshot

Estimating the Volatility of Discrete Stock Prices

inferredcites →https://doi.org/10.1111/jofi.12498openalex-snapshot

The Flash Crash: High‐Frequency Trading in an Electronic Market

inferredcites →https://doi.org/10.1111/jofi.12898openalex-snapshot

Understanding Systematic Risk: A High‐Frequency Approach

inferredcites →https://doi.org/10.1162/rest_a_00503openalex-snapshot

Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility

inferredcites →https://doi.org/10.1198/016214505000000169openalex-snapshot

A Tale of Two Time Scales

inferredcites →https://doi.org/10.1198/016214507000001067openalex-snapshot

Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

inferredcites →https://doi.org/10.1198/073500106000000044openalex-snapshot

Properties of Realized Variance Under Alternative Sampling Schemes

inferredcites →https://doi.org/10.1198/073500106000000071openalex-snapshot

Realized Variance and Market Microstructure Noise

inferredcites →https://doi.org/10.1214/009053606000000452openalex-snapshot

ANOVA for diffusions and Itô processes

inferredcites →https://doi.org/10.1214/08-aos624openalex-snapshot

Testing for common arrivals of jumps for discretely observed multidimensional processes

inferredcites →https://doi.org/10.1214/17-ejs1252openalex-snapshot

A note on central limit theorems for quadratic variation in case of endogenous observation times

inferredcites →https://doi.org/10.1287/mnsc.2015.2234openalex-snapshot

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

inferredcites →https://doi.org/10.1287/mnsc.2018.3040openalex-snapshot

The Flash Crash: A Cautionary Tale About Highly Fragmented Markets

inferredcites →https://doi.org/10.3150/08-bej170openalex-snapshot

Integrated volatility and round-off error

inferredcites →https://doi.org/10.3982/ecta13085openalex-snapshot

Statistical Properties of Microstructure Noise

inferredcites →https://doi.org/10.3982/ecta15593openalex-snapshot

When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility

inferredcites →https://doi.org/10.3982/ecta17505openalex-snapshot

A ReMeDI for Microstructure Noise

inferredcites →https://doi.org/10.3982/ecta6495openalex-snapshot

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

inferredcites →https://doi.org/10.3982/ecta9240openalex-snapshot

Estimation of Jump Tails

Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.