Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
40 Pages Posted: 7 Oct 2009
Date Written: June 11, 2009
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 Classification: G11
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