Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

Font Size: 
Systemic events and diffusion of jumps
Giovanni Bonaccolto, Nancy Zambon, Massimiliano Caporin

Last modified: 2018-05-16

Abstract


We propose two indexes informative of the cross-sectional diffusion of jumps from the analysis of a very large dataset of high-frequency returns that is not common in the literature. The two indexes have important implications in terms of asset pricing, as they capture part of the variability in stock returns that is not explained by the factors of the standard capital asset pricing model.

References


1. Barndorff-Nielsen, O.E., Shephard, N.: Econometrics of testing for jumps in financial economicsusing bipower variation. J. Financ. Econ. 4, 1–30 (2006)

2. Boudt, K., Croux, C., Laurent, S.: Robust estimation of intraweek periodicity in volatility andjump detection. J. Empirical Finance. 18, 353–367 (2011)

3. Caporin, M., Kolokolov, A., Ren`o, R.: Systemic co-jumps. J. Finan. Econ. forthcoming(2017)

4. Christensen, K., Oomen, R.C., Podolskij, M.: Fact or friction: Jumps at ultra high frequency.J. Finan. Econ. 114, 576–599 (2014)

5. Corsi, F., Pirino, D., Ren`o, R.: Threshold bipower variation and the impact of jumps onvolatility forecasting. J. Econometrics. 159, 276–288 (2010)

6. Gilder, D., Shackleton, M.B., Taylor, S.J.: Cojumps in stock prices: Empirical evidence. J.Banking Finance. 40, 443–459 (2014)

7. Lintner, J.: The valuation of risk assets and the selection of risky investments in stock portfoliosand capital budgets. Rev. Econ. Statist. 47, 13–37 (1965)

8. Mossin, J.: Equilibrium in a capital asset market. Econometrica. 34, 768–783 (1966)

9. Sharpe,W.F.: Capital asset prices: A theory of market equilibrium under conditions of risk. J.Finance. 3, 425–442 (1964)


Full Text: PDF