Systematic jump risk

DOI10.1214/24-AAP2068MaRDI QIDQ6620071zbMATH OpenFDO

Authors Jean Jacod, Huidi Lin, Viktor Todorov

Publication date 16 October 2024

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/24-AAP2068

zbMATH Keywords

dynamic factor modelshigh-dimensional analysishigh-frequency dataItô semimartingalenonparametric inferencestable convergencesystematic risk

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Jump processes on general state spaces (60J76) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

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Cites work

• Discretization of processes.
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometrics of co-jumps in high-frequency data with noise
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Jumps and betas: a new framework for disentangling and estimating systematic risks
• Large-dimensional factor modeling based on high-frequency observations
• Option pricing when underlying stock returns are discontinuous
• Risk, jumps, and diversification
• Stock co-jump networks
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Testing for jump spillovers without testing for jumps
• Testing for jumps in a discretely observed process
• Testing for mutually exciting jumps and financial flights in high frequency data
• Volatility is rough

Cited in

(1)

• Changes in the span of systematic risk exposures

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