Cornea-Madeira, AdrianaCouto, David do2024-12-092024-12-092023-10Couto, David do (2023). “Analysis of cryptocurrency jumps with post-double-selection HAR-J Models”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestãohttp://hdl.handle.net/10400.5/96102Mestrado Bolonha em Econometria Aplicada e PrevisãoUsing a novel PDS-HAR-J approach, and nonparametrically-estimated jumps and volatility series are derived from financial diffusion processes, I find evidence that cryptocurrency markets exhibit price jumps which are followed by decreased volatility. The results are an important motivation for future option-pricing model development to include jumps and for future applications of honest inference for HAR-type models.engmaster thesis