International Journal of Business and Economics Volume 9, No. 1 April​, 2010

Jump Distribution Characteristics: Evidence from European Stock Markets

Thierry Ané

Finance Department, University of Reims, France

Carole Métais

DRM Finance, University Paris Dauphine, France

Abstract

A comparison of the realized variance and the realized bipower variation provides a nonparametric estimation of the sum of all the intraday squared jump sizes. To recover individual jumps from this overall contribution to the quadratic variation, one needs to estimate both the number of jumps per day and their respective size. We provide a framework to do so and analyze the unconditional distributional properties of the two components of a jump – intensity and size – for three leading European stock market indexes.

Keywords：realized volatility, jumps, bipower variation, stock market indexes.

JEL Classifications：C14, C5, G11.

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