An Empirical Examination of Jump Risk in U.S Equity and Bond Markets

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous component and a discrete (jump) component. We analyze a data set that consists of high-frequency tick-by-tick data for all stocks in the S

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	Friesen, Geoffrey C Associate Professor of Finance Expertise: Behavioral Finance Financial Institutions Financial Markets & Investing Insurance Finance CBA 237 P.O. Box 880490 University of Nebraska-Lincoln Lincoln, NE 68588-0490, USA Phone: (402) 472-2334 Fax: (402) 472-5140 gfriesen2@unl.edu	Friesen, Geoffrey C	Finance