Risk, jumps, and diversification

DOI10.1016/J.JECONOM.2008.01.006zbMath1418.62374OpenAlexW2121732987MaRDI QIDQ292155

Tim Bollerslev, George Tauchen, Tzuo Hann Law

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

zbMATH Keywords

stock returnshigh-frequency datadiversificationbipower variationcojumpsjump-diffusionstests for jumps

Mathematics Subject Classification ID

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

Related Items (26)

The identification of price jumps ⋮ Testing for jumps when asset prices are observed with noise -- a ``swap variance approach ⋮ Collective synchronization and high frequency systemic instabilities in financial markets ⋮ Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market ⋮ Double-jump diffusion model for VIX: evidence from VVIX ⋮ Testing for common arrivals of jumps for discretely observed multidimensional processes ⋮ A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio ⋮ Testing for mutually exciting jumps and financial flights in high frequency data ⋮ Stock co-jump networks ⋮ Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps ⋮ Bayesian prediction of jumps in large panels of time series data ⋮ Testing for Jump Spillovers Without Testing for Jumps ⋮ State-domain change point detection for nonlinear time series regression ⋮ IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS ⋮ Cojumps and asset allocation in international equity markets ⋮ Jump tails, extreme dependencies, and the distribution of stock returns ⋮ Pricing variance swaps for stochastic volatilities with delay and jumps ⋮ Modelling systemic price cojumps with Hawkes factor models ⋮ Jumps and betas: a new framework for disentangling and estimating systematic risks ⋮ Threshold bipower variation and the impact of jumps on volatility forecasting ⋮ Realized jumps on financial markets and predicting credit spreads ⋮ Volatility spillovers, interdependence and comovements: a Markov switching approach ⋮ Detecting and modelling the jump risk of CO₂emission allowances and their impact on the valuation of option on futures contracts ⋮ Econometrics of co-jumps in high-frequency data with noise ⋮ COMFORT: a common market factor non-Gaussian returns model ⋮ Three-point approach for estimating integrated volatility and integrated covariance

Cites Work

• Unnamed Item
• Unnamed Item
• Testing for jumps in a discretely observed process
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Limit theorems for functionals of mixing processes with applications to $U$-statistics and dimension estimation
• 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

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