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Modelling and measuring jumps in high frequency data


Matei, M, Modelling and measuring jumps in high frequency data, Selected Issues in Macroeconomic and Regional Modeling: Romania as an Emerging Country in the EU, Nova Science Publishers, E Dobrescu, B Pauna, and C Saman (ed), New York, NY, pp. 245-254. ISBN 978-1-63484-936-4 (2016) [Research Book Chapter]

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Copyright 2016 Nova Science Publishers, Inc.

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The paper summarizes the latest developments in volatility modelling with jumps. It undertakes a comprehensive review of the literature written, highlighting the relevance of the topic and the improvements brought by departing from continuous sample path models to nonparametric realized volatility models which account for jumps. Three of the most relevant tests (Sahalia and Jacod, 2012, Barndorff-Nielsen and Shephard, 2006, and Lee and Mykland, 2007) are succinctly described.

Item Details

Item Type:Research Book Chapter
Keywords:Brownian motion, high frequency, jumps, volatility
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, finance and investment
Research Field:Financial econometrics
Objective Division:Plant Production and Plant Primary Products
Objective Group:Other plant production and plant primary products
Objective Field:Other plant production and plant primary products not elsewhere classified
UTAS Author:Matei, M (Dr Marius Matei)
ID Code:119454
Year Published:2016
Deposited By:TSBE
Deposited On:2017-08-01
Last Modified:2018-02-08

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