Wednesday February 15 2012
\n13:00
\nScuola Normale Superiore
\nAula Bianchi<\/p>\n
Roberto Ren\u00f2<\/b> Abstract Wednesday February 15 2012 13:00 Scuola Normale Superiore Aula Bianchi Roberto Ren\u00f2 Universit\u00e0 degli Studi di Siena Abstract A sizeable proportion of large, discontinuous, changes in asset prices are found to be associated with contemporaneous large, discontinuous, changes in volatility (i.e., co-jumps), negative price jumps usually occurring along with positive volatility jumps. We document that […]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/449"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=449"}],"version-history":[{"count":2,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/449\/revisions"}],"predecessor-version":[{"id":604,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/449\/revisions\/604"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=449"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=449"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=449"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}
\nUniversit\u00e0 degli Studi di Siena<\/span><\/p>\n
\n<\/strong>A sizeable proportion of large, discontinuous, changes in asset prices are found to be associated with contemporaneous large, discontinuous, changes in volatility (i.e., co-jumps), negative price jumps usually occurring along with positive volatility jumps. We document that the co-jumps yield an economically-meaningful portion of leverage, return skewness, and the implied volatility smirk. These, and other, effects are uncovered in the context of a flexible modeling approach (allowing, among other features, for independent as well as common jumps, volatility-dependent jump arrivals, and time-varying leverage) and a novel identification strategy relying on infinitesimal cross-moments and high-frequency price data.
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