STATISTICS SEMINAR :: Jumps in Financial markets: a new nonparametric test and jump dynamics

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In this talk, we introduce a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra-day level. We demonstrate that the likelihood of misclassification of jumps becomes negligible when we use high-frequency returns. Using our test, we examine jump dynamics and their distributions in the U.S. equity markets. The results show that individual stock jumps are associated with pre-scheduled earnings announcements and other company-specific news events. Additionally, S&P 500 Index jumps are associated with general market news announcements. This suggests different pricing models for individual equity options versus index options.


  • Workflow Status: Published
  • Created By: Barbara Christopher
  • Created: 10/08/2010
  • Modified By: Fletcher Moore
  • Modified: 10/07/2016


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