Risk, jumps, and diversification

DOI10.1016/J.JECONOM.2008.01.006zbMATH Open1418.62374OpenAlexW2121732987MaRDI QIDQ292155FDOQ292155

Authors: Tim Bollerslev, Tzuo Hann Law, George Tauchen 

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10161/1911

Recommendations

• Common price and volatility jumps in noisy high-frequency data
• An empirical examination of jump risk in U.S. equity and bond markets
• Cojumps and asset allocation in international equity markets
• Econometrics of co-jumps in high-frequency data with noise
• Jumps and betas: a new framework for disentangling and estimating systematic risks

zbMATH Keywords

high-frequency datastock returnsdiversificationbipower variationcojumpsjump-diffusionstests for jumps

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Microstructure Noise, Realized Variance, and Optimal Sampling
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model
• Testing for jumps in a discretely observed process
• Limit theorems for functionals of mixing processes with applications to \(U\)-statistics and dimension estimation
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Title not available (Why is that?)

Cited In (36)

• Volatility spillovers, interdependence and comovements: a Markov switching approach
• Equity portfolio diversification with high frequency data
• Cojumps and asset allocation in international equity markets
• Information arrival as price jumps
• Stock co-jump networks
• Testing for mutually exciting jumps and financial flights in high frequency data
• Persistence of jump-induced tail risk and limits to arbitrage
• COMFORT: a common market factor non-Gaussian returns model
• Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Title not available (Why is that?)
• From sure to strong diversification
• Stock price jumps and frequency distribution in the Chinese stock market
• Realized jumps on financial markets and predicting credit spreads
• Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
• Systematic jump risk
• The identification of price jumps
• A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
• Bayesian prediction of jumps in large panels of time series data
• Jump connectedness in the European foreign exchange market
• Testing for jump spillovers without testing for jumps
• Econometrics of co-jumps in high-frequency data with noise
• Modelling systemic price cojumps with Hawkes factor models
• Interconnectedness of cryptocurrency markets: an intraday analysis of volatility spillovers based on realized volatility decomposition
• Double-jump diffusion model for VIX: evidence from VVIX
• An empirical examination of jump risk in U.S. equity and bond markets
• Collective synchronization and high frequency systemic instabilities in financial markets
• Detecting and modelling the jump risk of \(\text{CO}_2\) emission allowances and their impact on the valuation of option on futures contracts
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Jump tails, extreme dependencies, and the distribution of stock returns
• Pricing variance swaps for stochastic volatilities with delay and jumps
• State-domain change point detection for nonlinear time series regression
• Jumps and betas: a new framework for disentangling and estimating systematic risks
• Three-point approach for estimating integrated volatility and integrated covariance
• Threshold bipower variation and the impact of jumps on volatility forecasting

This page was built for publication: Risk, jumps, and diversification

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q292155)