Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data

Keyphrases

• Asset Returns 100%
• Degree of Activity 50%
• Econometric Analysis 50%
• Economic Implications 50%
• High-frequency Data 100%
• Individual Stock Returns 50%
• Jump Component 100%
• Large Jump 50%
• Market Microstructure Noise 50%
• Qualitative Features 50%
• Relative Magnitude 50%
• Return Jumps 100%
• Return Volatility 100%
• Semimartingale 50%
• Small Jumps 50%
• Stock Index Returns 50%
• Stock Quotes 50%
• Stock Transaction 50%
• Test Statistic 50%
• Volatility Components 100%

Economics, Econometrics and Finance

• Capital Market Returns 100%
• Econometrics 33%
• High-Frequency Data 100%
• Individual Stock 33%
• Market Microstructure 33%
• Stock Index 33%
• Volatility 100%