Jumps or Staleness?
31 Pages Posted: 12 Jul 2021
Date Written: July 8, 2021
Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. We harness staleness-robust estimators to re-appraise the statistical features of jumps in financial markets. We find that jumps are much less frequent and much less contributing to price variation than what found by the empirical literature so far. In particular, the empirical finding that volatility is driven by a pure jump process is actually shown to be an artifact due to staleness.
Keywords: Staleness, Zeros, Jumps, Multipower variation, Jump Activity Index,
JEL Classification: C58, C22
Suggested Citation: Suggested Citation