Acknowledgement
This work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2017S1A5A2A01027065)
References
- Ande, T. G. and T. Bollerslev (1998), "Deutschemark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies", Journal of Finance, 53, 219-265. https://doi.org/10.1111/0022-1082.85732
- Andersen, T., T. Bollerslev and F. X. Diebold (2002), "Parametric and nonparametric Volatility Measurement". In Y. Ait-Sahalia and L. P. Hansen (Eds.), Handbook of Financial Econometrics, Amsterdam: North Holland.
- Andersen, T., T. Bollerslev and F. X. Diebold (2004), Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility (Duke University Working Paper, 2004), Durham, NC: Duke University.
- Andersen, T., T. Bollerslev and F. X. Diebold (2007), "Roughing It up: Including Jump Components in the Measurement, Modelling and Forecasting of Return Volatility", The Review of Economics and Statistics, 89(4), 701-720. https://doi.org/10.1162/rest.89.4.701
- Andersen, T., T. Bollerslev, F. X. Diebold and P. Labys (2001), "The Distribution of Realized Exchange Rate Volatility", Journal of the American Statistical Association, 96, 42-55. https://doi.org/10.1198/016214501750332965
- Andersen, T., T. Bollerslev, F. X. Diebold and P. Labys (2003), "Modeling and Forecasting Realized Volatility", Econometrica, 71, 579-625 https://doi.org/10.1111/1468-0262.00418
- Andersen, T., T. Bollerslev, F. X. Diebold and C. Vega (2003), "Micro Effects of Macro Announcements: Real Time Price Discovery in Foreign Exchange", American conomic Review, 93, 38-62.
- Barndorff-Nielsen O. E. and N. Shephard (2004a), "Power and Bipower Variation with Stochastic Volatility and Jumps", Journal of Financial Econometrics, 2, 1-37. https://doi.org/10.1093/jjfinec/nbh001
- Barndorff-Nielsen O. E. and N. Shephard (2004b), Measuring the Impact of Jumps on Multivariate Price Processed Using Bipower Variation (Oxford University Discussion Paper), Oxford, UK: Nuffield College.
- Barndorff-Nielsen O. E. and N. Shephard (2005a), "How Accurate is the Asymptotic Approximation to the Distribution of Realized Volatility". In D. W. K. Andrews, J. L. Powell, P. A. Ruud and J. H. Stock (Eds.), Identification and Inference for Econometric Models Essays in Honor of Thomas Rothenberg, Cambridge, MA: Cambridge University Press.
- Barndorff-Nielsen O. E. and N. Shephard (2005b), Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics (Oxford University Discussion Paper), Oxford, UK: Nuffield College.
- Barndorff-Nielsen O. E. and N. Shephard (2006), "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation", Journal of Financial Econometrics, 4, 1-30. https://doi.org/10.1093/jjfinec/nbi022
- Bibinger, M., N. Hautsch, P. Malec and M. Reiss (2014), Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence, Berlin, Germany, Humboldt University.
- Bibinger, M. and L.Winkelmann (2015), "Econometrics of Cojumps in High-Frequency Data with Noise", Journal of Econometrics, 184(2), 361-378. https://doi.org/10.1016/j.jeconom.2014.10.004
- Boudt, K., C. Croux and S. Laurent (2011a), "Outlyingness Weighted Covariation", Journal of Financial Econometrics, 9, 657-684. https://doi.org/10.1093/jjfinec/nbr003
- Boudt, K., C. Croux and S. Laurent (2011b), "Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection", Journal of Empirical Finance, 18, 353-367. https://doi.org/10.1016/j.jempfin.2010.11.005
- Chatrath, A., H. Miao, S. Ramchander and S. Villupuram (2014), "Currency Jump, Cojumps and the Role of Macro News", Journal of International Money and Finance, 40, 42-62. https://doi.org/10.1016/j.jimonfin.2013.08.018
- Chernov, M., A. R. Gallant, E. Ghysels and G.Tauchen. (2003), "Alternative Models for Stock Price Dynamics", Journal of Econometrics, 116, 225-257. https://doi.org/10.1016/S0304-4076(03)00108-8
- Comte, F. and E. Renault (1998), "Long Memory in Continuous Time Stochastic Volatility Models", Mathematical Finance, 8, 291-323. https://doi.org/10.1111/1467-9965.00057
- Deleze, F. and S. M. Hussain (2014), "Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence using Tick by Tick Data", Essays in Quantitative Analysis of the Effects of Market Imperfections on Asset Returns, 1, 61-99.
- Dewachter, H., D. Erdemlioglu, J. Y. Gnabo and C. Lecourt (2014), "The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps", Journal of International Money and Finance, 43, 131-154. https://doi.org/10.1016/j.jimonfin.2014.01.003
- Eraker, B., M. S. Johannes and N. G. Polson (2003), "The Impact of Jumps in Volatility and Returns", Journal of Finance, 58, 1269-1300. https://doi.org/10.1111/1540-6261.00566
- Eraker, B. (2004), "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices", Journal of Finance, 59, 1367-1403. https://doi.org/10.1111/j.1540-6261.2004.00666.x
- Fleming, J., C. Kirby and B. Ostdiek (2003), "The Economic Value of Volatility Timing using Realized Volatility", Journal of Financial Economics, 67, 473-509. https://doi.org/10.1016/S0304-405X(02)00259-3
- Huang, X. and G. Tauchen (2005), "The Relative Contribution of Jumps to Total Price Variation", Journal of Financial Econometrics, 3, 456-499. https://doi.org/10.1093/jjfinec/nbi025
- Johannes, M.S.(2004), "The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models", Journal of Finance, 59, 227-260. https://doi.org/10.1111/j.1540-6321.2004.00632.x
- Laakkonen H., Lanne M. (2013), "The Relevance of Accuracy for the Impact of Macroeconomic News on Exchange Rate Volatility", International Journal of Finance and Economics, 18, 339-351. https://doi.org/10.1002/ijfe.1467
- Lahaye, J., S. Laurent and C.J. Neely (2011), "Jumps, Cojumps and Macro Announcements", Journal of Applied Econometrics, 26, 893-921. https://doi.org/10.1002/jae.1149
- Lee, S.S. and P.A. Mykland (2008), "Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics", The Review of Financial Studies, 21, 2535-2563. https://doi.org/10.1093/rfs/hhm056
- Maronna R.A, R. Douglas, D.R. Martin and V. J. Yohai (2006), Robust Statistics: Theory and Methods, New York, NY: Wiley.
- Pan, J. (2002), "The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time Series Study", Journal of Financial Economics, 63, 3-50. https://doi.org/10.1016/S0304-405X(01)00088-5
- Rousseeuw, P. J. and A. M. Leroy (1988), "A Robust Scale Estimator Based on the Shortest Half", Statistica Neerlandica, 42(2), 103-116. https://doi.org/10.1111/j.1467-9574.1988.tb01224.x
- Yi, C. (2014), "Nonparametric Estimation of Periodicity of Power Volatility and Discontinuous Daily jumps and Intraday Jump", Journal of Economic Theory and Econometrics, 25(1), 26-57.