Concepedia

Jump Volatility

Jump Volatility is a volatility measure that belongs to the class of stochastic volatility models and is distinguished by its explicit incorporation of discontinuous price jumps to capture abrupt, large-magnitude movements in asset returns.

130

Publications

9K

Citations

244

Authors

216

Institutions

Publications per year

2017–2026

37

Variants

Discontinuous Volatility

Parents

Publications

130

Threshold bipower variation and the impact of jumps on volatility forecasting

Fulvio Corsi, Davide Pirino, Roberto Renò · Cineca Institutional Research Information System (Tor Vergata University) · 2010 · 546 citations

, , +14

Jump-robust volatility estimation using nearest neighbor truncation

Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg · Journal of Econometrics · 2012 · 464 citations

, , +13

On Jumps in Common Stock Prices and Their Impact on Call Option Pricing

Clifford A. Ball, Walter N. Torous · The Journal of Finance · 1985 · 411 citations

, , +16

Regime jumps in electricity prices

Ronald Huisman, Ronald Mahieu · Energy Economics · 2003 · 353 citations · Full text

, , +17

Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options

Pedro Santa‐Clara, Shu Yan · The Review of Economics and Statistics · 2010 · 344 citations · Full text

, , +17

1–5 of 130

Authors

244

  1. TG
    Torben G. Andersen

    Northwestern University, United States

    8 publications · 1.4K citations

    8

    h-index

  2. SY
    Shu Yan

    Oklahoma State University, United States

    4 publications · 726 citations

    4

    h-index

  3. HZ
    Hao Zhou

    Tsinghua University, China

    4 publications · 296 citations

    4

    h-index

  4. GT
    George Tauchen

    Duke University, United States

    4 publications · 295 citations

    4

    h-index

  5. FX
    Francis X. Diebold

    University of Pennsylvania, United States

    4 publications · 705 citations

    4

    h-index

1–5 of 244

Institutions

216

  1. National Bureau of Economic Research

    Cambridge, United States

    9 h-index

    17 publications

    2.3K citations

  2. Duke University

    Durham, United States

    8 h-index

    10 publications

    1.4K citations

  3. Aarhus University

    Aarhus, Denmark

    7 h-index

    7 publications

    596 citations

  4. Kellogg's (Canada)

    Mississauga, Canada

    6 h-index

    6 publications

    900 citations

  5. Federal Reserve Board of Governors

    Washington D.C., United States

    5 h-index

    5 publications

    770 citations

  6. Northwestern University

    Evanston, United States

    5 h-index

    7 publications

    1.2K citations

  7. University of International Business and Economics

    Beijing, China

    5 h-index

    7 publications

    127 citations

  8. Southwest Jiaotong University

    Chengdu, China

    5 h-index

    9 publications

    409 citations

1–8 of 216

Venues

  1. SSRN Electronic Journal

    Repository · 25 publications · 1.1K citations

    18

    h-index

  2. Journal of Futures Markets

    8 publications · 255 citations

    8

    h-index

  3. Journal of Banking & Finance

    7 publications · 335 citations

    7

    h-index

  4. Energy Economics

    7 publications · 517 citations

    6

    h-index

  5. The Journal of Finance

    5 publications · 1.1K citations

    5

    h-index

1–5