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• W2891484854 abstract "We develop a sequential procedure to test the adequacy of jump-diffusion models for return distributions. We rely on intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional moment tests, for assessing the import of jumps and leverage effects. A novel robust-to-jumps approach is utilized to alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through Monte Carlo methods. Our empirical findings support the jump-diffusive representation for S&P500 futures returns but reveal it is critical to account for leverage effects and jumps to maintain the underlying semi-martingale assumption." @default.
• W2891484854 created "2018-09-27" @default.
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• W2891484854 date "2007-05-01" @default.
• W2891484854 modified "2023-10-18" @default.
• W2891484854 title "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" @default.
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• W2891484854 doi "https://doi.org/10.1016/j.jeconom.2006.05.018" @default.
• W2891484854 hasPublicationYear "2007" @default.
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