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

40 Pages Posted: 7 Oct 2009

See all articles by Yacine Ait-Sahalia

Yacine Ait-Sahalia

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

Jean Jacod

Université Paris VI Pierre et Marie Curie

Multiple version iconThere are 3 versions of this paper

Date Written: June 11, 2009

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 Classification: G11

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: https://ssrn.com/abstract=1483564 or http://dx.doi.org/10.2139/ssrn.1483564

Yacine Ait-Sahalia (Contact Author)

Princeton University - Department of Economics ( email )

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Jean Jacod

Université Paris VI Pierre et Marie Curie ( email )

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