Jumps and betas: A new framework for disentangling and estimating systematic risks

Journal of Econometrics

Volumn 157, Issue 2, 2010, Pages 220-235

  Todorov, Viktor ^a   Bollerslev, Tim ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Common jumps; Factor models; High frequency data; Realized variation; Systematic risk

Indexed keywords

AGGREGATE MARKET; ASYMPTOTIC DISTRIBUTIONS; FACTOR MODEL; FIXED TIME INTERVAL; HIGH FREQUENCY DATA; JUMP RISK; SYSTEMATIC RISK; THEORETICAL FRAMEWORK;

ESTIMATION;

RISK PERCEPTION;

EID: 77953724130     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.11.010     Document Type: Article

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