Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "14052"
  #_source: array:26 [
    "id" => "14052"
    "slug" => "jumps-or-staleness"
    "yearMonth" => "2024-04"
    "year" => "2024"
    "title" => "Jumps or Staleness?"
    "description" => "KOLOKOLOV, A. et RENO, R. (2024). Jumps or Staleness? <i>Journal of Business and Economic Statistics</i>, 42(2), pp. 516-532."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "RENO Roberto"
        "bid" => "B00798674"
        "slug" => "reno-roberto"
      ]
      1 => array:1 [
        "name" => "KOLOKOLOV Aleksey"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:4 [
      0 => "Jump activity index"
      1 => "Jump testing"
      2 => "Multipower variation"
      3 => "Staleness"
    ]
    "updatedAt" => "2024-09-30 17:52:41"
    "publicationUrl" => "https://doi.org/10.1080/07350015.2023.2203207"
    "publicationInfo" => array:3 [
      "pages" => "516-532"
      "volume" => "42"
      "number" => "2"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "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 reappraise 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."
      "en" => "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 reappraise 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."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2024-12-27T13:21:47.000Z"
    "docTitle" => "Jumps or Staleness?"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, KOLOKOLOV Aleksey"
    "docDescription" => "<span class="document-property-authors">RENO Roberto, KOLOKOLOV Aleksey</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2024</span>"
    "keywordList" => "<a href="#">Jump activity index</a>, <a href="#">Jump testing</a>, <a href="#">Multipower variation</a>, <a href="#">Staleness</a>"
    "docPreview" => "<b>Jumps or Staleness?</b><br><span>2024-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1080/07350015.2023.2203207" target="_blank">Jumps or Staleness?</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.957939
  +"parent": null
}