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Jump Distribution Characteristics: Evidence from European Stock Markets

Author

Listed:
  • Thierry Ane

    (Finance Department, University of Reims, France)

  • Carole Metais

    (DRM Finance, University Paris Dauphine, France)

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 ¡V intensity and size ¡V for three leading European stock market indexes.

Suggested Citation

  • Thierry Ane & Carole Metais, 2010. "Jump Distribution Characteristics: Evidence from European Stock Markets," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 9(1), pages 1-22, April.
    • Handle: RePEc:ijb:journl:v:9:y:2010:i:1:p:1-22
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    References listed on IDEAS

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    Cited by:

    1. Alex Langnau & Yanko Punchev, 2011. "Stochastic Price Dynamics Implied By the Limit Order Book," Papers 1105.4789, arXiv.org.
    2. Maciej Kostrzewski & Jadwiga Kostrzewska, 2021. "The Impact of Forecasting Jumps on Forecasting Electricity Prices," Energies, MDPI, vol. 14(2), pages 1-17, January.
    3. Maciej Kostrzewski, 2015. "Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 7(1), pages 43-70, March.
    4. Maciej Kostrzewski, 2014. "Bayesian DEJD model and detection of asymmetric jumps," Papers 1404.2050, arXiv.org.

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    More about this item

    Keywords

    realized volatility; jumps; bipower variation; stock market indexes;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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