Jumps or Staleness?
研究发现金融数据中的零回报（价格停滞）会严重干扰跳跃的识别，使用稳健估计后，跳跃的频率和对价格变动的贡献远低于以往文献的结论，纯跳跃过程其实是停滞造成的假象。
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.