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Cross-Stock Comparisons of the Relative Contribution of Jumps to Total Price Variance
By Vivek Bhattacharya This paper uses high-frequency price data to study the relative contribution of jumps to the total volatility of an equity. In particular, it systematically compares the relative contribution of jumps across a panel of stocks from three different industries by computing the cross-correlation of this statistic for pairs of stocks. We identify […]
