TY - JOUR
T1 - Analyzing the spectrum of asset returns
T2 - Jump and volatility components in high frequency data
AU - Aït-Sahalia, Yacine
AU - Jacod, Jean
PY - 2012/12
Y1 - 2012/12
N2 - This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency fnancial returns. It describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the fner characteristics of these components such as the degree of activity of the jumps. We incorporate to effect of market microstructure noise on the test statistics, apply the methodology to high frequency individual stock returns, transactions and quotes, stock index returns and compare the qualitative features of the estimated process for these different data and discuss the economic implications of the results.
AB - This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency fnancial returns. It describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the fner characteristics of these components such as the degree of activity of the jumps. We incorporate to effect of market microstructure noise on the test statistics, apply the methodology to high frequency individual stock returns, transactions and quotes, stock index returns and compare the qualitative features of the estimated process for these different data and discuss the economic implications of the results.
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U2 - 10.1257/jel.50.4.1007
DO - 10.1257/jel.50.4.1007
M3 - Article
AN - SCOPUS:84871859483
SN - 0022-0515
VL - 50
SP - 1007
EP - 1050
JO - Journal of Economic Literature
JF - Journal of Economic Literature
IS - 4
ER -