Simula@BI: Jumps or Staleness?

Speaker: Roberto Renò, Professor, Department of Economics, the University of Verona.

  • Starts:13:30, 3 March 2022
  • Ends:14:30, 3 March 2022
  • Location:Hybrid event: auditorium B2-040 at BI Oslo & online stream
  • Enrolment deadline:03.03.2022 - 10am
  • Contact:Siri Johnsen (Siri.johnsen@bi.no)

Co-authored by Aleksey Kolokolov. 

Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. We harness staleness-robust estimators to re-appraise the statistical features of jumps in financial markets. We find that jumps are much less frequent and much less contributing to price variation than what found by the empirical literature so far. In particular, the empirical finding that volatility is driven by a pure jump process is actually shown to be an artifact due to staleness.