Jumps or Staleness?

31 Pages Posted: 12 Jul 2021

See all articles by Aleksey Kolokolov

Aleksey Kolokolov

University of Manchester - Manchester Business School

Roberto Renò

ESSEC Business School

Date Written: July 8, 2021

Abstract

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

Kolokolov, Aleksey and Renò, Roberto, Jumps or Staleness? (July 8, 2021). Available at SSRN: https://ssrn.com/abstract=3882775 or http://dx.doi.org/10.2139/ssrn.3882775

Aleksey Kolokolov (Contact Author)

University of Manchester - Manchester Business School ( email )

Booth Street West
Manchester, M15 6PB
United Kingdom

Roberto Renò

ESSEC Business School ( email )

3 Avenue Bernard Hirsch
CS 50105 CERGY
CERGY, CERGY PONTOISE CEDEX 95021
France

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