In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either compound Poisson or Lévy α-stable jumps. To be able to estimate the models with latent Lévy α−stable jumps, I construct a new Markov chain Monte Carlo algorithm. I...

Anticipatory postural adjustments (APA) associated with high vertical jumping were studied in five normal men. The dependence of APA on final equilibrium and task complexity was studied by analyzing the characteristics of single versus repetitive jumps. Subjects performed series of 25 single jumps and 25 repetitive jumps on a force platform, in response to a Go signal. Surface EMG from the Sole...

Many prominent continuous-time stochastic volatility models exhibit certain functional relationships between price jumps and volatility jumps. In this paper we construct tests for such relationships in a fairly general context, derive some of their theoretical properties, and investigate their behavior in a simulation study. We apply our tests to three high-frequency data sets from finance. It ...

This paper investigates jumps and cojumps in European financial markets employing more than six years of tick by tick data on stock indices, currency and interest rate futures. Using a jump detection measure proposed by Lee and Mykland (2008), we find that while the U.S macroeconomic announcements cause significant jumps on all asset classes, European equity markets are found to be the more sen...

AIM To study correlation between inhibitions of naloxone-precipitated withdrawal jumps and nitric-oxide synthase (NOS) activity by agmatine. METHODS NOS activities in mouse brain were measured by determination of concentration of [3H]citrulline, the product of [3H]arginine. RESULTS Agmatine inhibited NOS activity in naive and morphine-dependent mouse cerebellum, forebrain, and thalamus in s...