Jump factor models in large cross‐sections

DOI10.3982/QE1060MaRDI QIDQ5208562zbMATH OpenOpenAlexFDO

Authors Jia Li, Viktor Todorov, George Tauchen

Publication date 8 January 2020

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL http://qeconomics.org/ojs/index.php/qe/article/download/664/656

zbMATH Keywords

factor modelhigh-frequency datajumpspanelsemimartingalespecification teststochastic volatility

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(11)

• Mixed-scale jump regressions with bootstrap inference
• Large-dimensional factor modeling based on high-frequency observations
• High-frequency factor models and regressions
• A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS
• Uniform predictive inference for factor models with instrumental and idiosyncratic betas
• Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
• Stock co-jump networks
• Persistence of jump-induced tail risk and limits to arbitrage
• Systematic jump risk
• Jump detection in high-frequency order prices
• Nonparametric estimation of large spot volatility matrices for high-frequency financial data

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