{"paper":{"title":"Do price and volatility jump together?","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"q-fin.ST","authors_text":"Jean Jacod, Viktor Todorov","submitted_at":"2010-10-21T12:36:51Z","abstract_excerpt":"We consider a process $X_t$, which is observed on a finite time interval $[0,T]$, at discrete times $0,\\Delta_n,2\\Delta_n,\\ldots.$ This process is an It\\^{o} semimartingale with stochastic volatility $\\sigma_t^2$. Assuming that $X$ has jumps on $[0,T]$, we derive tests to decide whether the volatility process has jumps occurring simultaneously with the jumps of $X_t$. There are two different families of tests for the two possible null hypotheses (common jumps or disjoint jumps). They have a prescribed asymptotic level as the mesh $\\Delta_n$ goes to $0$. We show on some simulations that these t"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1010.4990","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}