CEBA talks 2020-2021
Past talks Invited talks

Jumps or Staleness?

Authors: Alexei Kolokolov and Roberto Renò

Abstract: Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. Price staleness is easily mistaken for jumps by statistics based on multipower variation. 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.


Presentation slides