Price and Volatility Co-Jumps

155 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

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Exploring Return Dynamics via Corridor Implied Volatility (2015, unknown): “In this context, we adopt the perspective of Bondarenko (2014) in demonstrating robustness of the model-free return variation concept to both price jumps and discrete sampling of the underlying price observations.”
Systemic Co-Jumps (2017, unknown): “7The fact that jumps in prices are typically accompanied by jumps in volatility has been empirically shown by Todorov and Tauchen (2011) and Bandi and Renò (2016), among others.”
The drift burst hypothesis (2016, methodology): “In particular, the model is compatible with the notion of stochastic volatility, leverage, and possibly jumps in drift and volatility (e.g., Todorov and Tauchen, 2011; Bandi and Renò, 2016).”
Smiling twice: The Heston++ model (2018, background): “…(typically, accounting for market downturns accompanied by a spike in volatility, as also empirically supported by Todorov and Tauchen, 2011 and Bandi and Renò, 2016), and the second being independent from price movements and accounting for spikes in volatility not accompanied by changes in…”