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• W86694619 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 - intensity and size - for three leading European stock market indexes." @default.
• W86694619 created "2016-06-24" @default.
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• W86694619 date "2010-01-01" @default.
• W86694619 modified "2023-09-26" @default.
• W86694619 title "Jump Distribution Characteristics: Evidence from European Stock Markets" @default.
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