Jumps or staleness?*

Aleksey Kolokolov, Roberto Renò

Research output: Contribution to journalArticlepeer-review

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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 re-appraise 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.
Original languageEnglish
JournalJournal of Business and Economic Statistics
Early online date25 Apr 2023
Publication statusE-pub ahead of print - 25 Apr 2023


  • Staleness
  • Multipower variation
  • Jump testing
  • Jump activity index


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