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

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

Last modified: 2018-05-16


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.


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