Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Lévy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics. Empirical evidence of both small and big jumps based on the...

Use of a commercially available wearable device to monitor jump load with elite volleyball players has become common practice. The purpose of this study was to evaluate the validity and reliability of this device, the Vert, to count jumps and measure jump height with professional volleyball players. Jump count accuracy was determined by comparing jumps recorded by the device to jumps observed t...

There is evidence that the conventional, continuous underlying function model of financial asset pricing can be improved by adding a discontinuous jump component. Barndorff-Nielsen and Shephard (2004) propose a method of detecting these jumps that compares different estimators of quadratic variation. This paper applies that detection method to the common stock of Altria Group, Inc. and attempts...

In this paper we analyze asset returns models with diffusion part and jumps in returns with stochastic volatility either from diffusion or pure jump part. We consider different specifications for the pure jump part including compound Poisson, Variance Gamma and Levy α-stable jumps. Monte Carlo Markov chain algorithm is constructed to estimate models with latent Variance Gamma and Levy α−stable ...