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Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Yacine Ait-Sahalia
Princeton University - Department of Economics; National Bureau of Economic Research (NBER)

Jean Jacod
Université Paris VI Pierre et Marie Curie

June 11, 2009

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI

Abstract:
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the ﬁner characteristics of these components such as the degree of activity of the jumps.

Keywords: continuous-time models, semimartingales, jumps, volatility, spectrum, high frequency ﬁnancial returns

JEL Classifications: G11

Working Paper Series

Date posted: October 07, 2009 ; Last revised: October 29, 2009

Suggested Citation

Ait-Sahalia, Yacine and Jacod, Jean, Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (June 11, 2009). Paris December 2009 Finance International Meeting AFFI - EUROFIDAI. Available at SSRN: http://ssrn.com/abstract=1483564

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Contact Information

Yacine Ait-Sahalia (Contact Author) Princeton University - Department of Economics ( email ) Fisher Hall Princeton, NJ 08544 United States 609-258-4015 (Phone) 609-258-5398 (Fax)
National Bureau of Economic Research (NBER) 1050 Massachusetts Avenue Cambridge, MA 02138 United States
Jean Jacod Université Paris VI Pierre et Marie Curie ( email ) 4, Place Jussieu, B.P. 169 Laboratoire de Probabilites F-75252-Paris Cedex 05 France 01 44 27 53 21 (Phone)