Risk, jumps, and diversification

Journal of Econometrics

Volumn 144, Issue 1, 2008, Pages 234-256

  Bollerslev, Tim ^a   Law, Tzuo Hann ^b   Tauchen, George ^a  

^a DUKE UNIVERSITY   (United States)

^b NONE   (Malaysia)

Author keywords

Bipower variation; Cojumps; Diversification; High frequency data; Jump diffusions; Stock returns; Tests for jumps

Indexed keywords

COSTS; ECONOMIC ANALYSIS; INVENTORY CONTROL; STATISTICS;

BIPOWER VARIATION; COJUMPS; DIVERSIFICATION; HIGH-FREQUENCY DATA; JUMP-DIFFUSIONS; STOCK RETURNS; TESTS FOR JUMPS;

INDUSTRIAL ECONOMICS;

EID: 43049149740     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.01.006     Document Type: Article

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