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

DOI10.1016/j.jeconom.2009.11.010zbMath1400.62240MaRDI QIDQ736514

Tim Bollerslev, Viktor Todorov

Publication date: 4 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.11.010

zbMATH Keywords

high-frequency data; factor models; systematic risk; common jumps; realized variation

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures