Jump tails, extreme dependencies, and the distribution of stock returns
DOI10.1016/J.JECONOM.2012.08.014zbMATH Open1443.62334OpenAlexW2101182724MaRDI QIDQ528157FDOQ528157
Tim Bollerslev, Viktor Todorov, Sophia Zhengzi Li
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/22014815/rp10_64.pdf
nonparametric estimationjumpstail dependencestochastic volatilityhigh-frequency dataextreme eventsjump tailssystematic risks
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- An introduction to statistical modeling of extreme values
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Statistics for near independence in multivariate extreme values
- Statistics of Extremes
- Statistical inference using extreme order statistics
- Bivariate extreme statistics. I
- Residual life time at great age
- Estimating tails of probability distributions
- Modeling and Forecasting Realized Volatility
- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Option pricing when underlying stock returns are discontinuous
- Financial modeling under non-Gaussian distributions.
- Estimation of jump tails
- Bivariate tail estimation: dependence in asymptotic independence
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- The extremogram: a correlogram for extreme events
- Testing for common arrivals of jumps for discretely observed multidimensional processes
- Risk, jumps, and diversification
- TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS
- Extremal memory of stochastic volatility with an application to tail shape inference
- Jumps and betas: a new framework for disentangling and estimating systematic risks
- Estimating the spectral measure of an extreme value distribution
- Asymmetry in tail dependence in equity portfolios
- Estimation of parameters in heavy-tailed distribution when its second order tail parameter is known
Cited In (20)
- Exploiting the errors: a simple approach for improved volatility forecasting
- Modeling multivariate extreme events using self-exciting point processes
- Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor
- Lévy Copulas: Review of Recent Results
- Testing for mutually exciting jumps and financial flights in high frequency data
- COMFORT: a common market factor non-Gaussian returns model
- Jumps and oil futures volatility forecasting: a new insight
- Inference on the tail process with application to financial time series modeling
- Multiple structural changes in the tail behavior: Evidence from stock index futures returns
- Large-dimensional factor modeling based on high-frequency observations
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- Rank Tests at Jump Events
- Robust score and portmanteau tests of volatility spillover
- Modelling systemic price cojumps with Hawkes factor models
- Collective synchronization and high frequency systemic instabilities in financial markets
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
- Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
- On the measurement and treatment of extremes in time series
- Nonparametric inference on Lévy measures and copulas
- Estimates of the likelihood of extreme returns in international stock markets
Uses Software
This page was built for publication: Jump tails, extreme dependencies, and the distribution of stock returns
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528157)
