Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Yacine Aït-Sahalia, Jean Jacod

NBER Working Paper No. 15808
Issued in March 2010

---- Acknowledgements -----

We are very grateful to Larry Harris and Joel Hasbrouck for helpful discussions regarding market microstructure issues. We are also grateful for the comments of the Editor and two anonymous referees. This research was partly funded by the NSF under grants DMS-0532370 and SES-0850533. MATLAB code to implement the methods described in this paper and sample data files can be downloaded from the authors' web pages. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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