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

Citations

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Cited by:

  1. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
  2. Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng, 2020. "High-frequency factor models and regressions," Journal of Econometrics, Elsevier, vol. 216(1), pages 86-105.
  3. Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian, 2022. "Testing the eigenvalue structure of spot and integrated covariance," Journal of Econometrics, Elsevier, vol. 229(2), pages 363-395.
  4. Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
  5. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, Department of Economics and Business Economics, Aarhus University.
  6. Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
  7. Ilze Kalnina, 2023. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 538-549, April.
  8. Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
  9. Van Ness, Bonnie & Van Ness, Robert & Yildiz, Serhat, 2021. "Private information in trades, R2, and large stock price movements," Journal of Banking & Finance, Elsevier, vol. 131(C).
  10. Liu, Wenwen & Zhang, Chang & Qiao, Gaoxiu & Xu, Lei, 2022. "Impact of network investor sentiment and news arrival on jumps," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  11. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2018. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Journal of Asian Economics, Elsevier, vol. 59(C), pages 29-47.
  12. Wang, Kent & Liu, Junwei & Liu, Zhi, 2013. "Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1777-1786.
  13. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
  14. Markus Reiß & Viktor Todorov & George Tauchen, 2014. "Nonparametric Test for a Constant Beta over a Fixed Time Interval," SFB 649 Discussion Papers SFB649DP2014-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Zhang, Congshan & Li, Jia & Todorov, Viktor & Tauchen, George, 2022. "Variation and efficiency of high-frequency betas," Journal of Econometrics, Elsevier, vol. 228(1), pages 156-175.
  16. Li, Jia & Todorov, Viktor & Tauchen, George & Chen, Rui, 2017. "Mixed-scale jump regressions with bootstrap inference," Journal of Econometrics, Elsevier, vol. 201(2), pages 417-432.
  17. Yuta Koike, 2014. "An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 460-481, June.
  18. Maarten R C van Oordt & Chen Zhou, 2019. "Estimating Systematic Risk under Extremely Adverse Market Conditions," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 432-461.
  19. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
  20. Vitali Alexeev & Mardi Dungey, 2015. "Equity portfolio diversification with high frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1205-1215, July.
  21. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
  22. Patton, Andrew J. & Verardo, Michela, 2009. "Does beta move with news? Systematic risk and firm-specific information flows," LSE Research Online Documents on Economics 24421, London School of Economics and Political Science, LSE Library.
  23. Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  24. Li, Jia & Todorov, Viktor & Tauchen, George, 2017. "Adaptive estimation of continuous-time regression models using high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 36-47.
  25. Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, 2018. "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series 2018-081, Board of Governors of the Federal Reserve System (U.S.).
  26. Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
  27. Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013. "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, vol. 172(2), pages 307-324.
  28. Ilze KALNINA & Kokouvi TEWOU, 2015. "Cross-sectional Dependence in Idiosyncratic Volatility," Cahiers de recherche 08-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  29. repec:wyi:journl:002184 is not listed on IDEAS
  30. Shabir A.A. Saleem & Peter N. Smith & Abdullah Yalaman, 2020. "Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data," Discussion Papers 20/09, Department of Economics, University of York.
  31. Youcong Chao & Xiaoqun Liu & Shijun Guo, 2017. "Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market," PLOS ONE, Public Library of Science, vol. 12(8), pages 1-14, August.
  32. Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2019. "Does Index Arbitrage Distort the Market Reaction to Shocks?," CERGE-EI Working Papers wp651, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  33. Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, vol. 4(2), pages 1-15, June.
  34. Liu, Zhi & Kong, Xin-Bing & Jing, Bing-Yi, 2018. "Estimating the integrated volatility using high-frequency data with zero durations," Journal of Econometrics, Elsevier, vol. 204(1), pages 18-32.
  35. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019. "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers 2019-02, University of Tasmania, Tasmanian School of Business and Economics.
  36. Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2016. "Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach," CREATES Research Papers 2016-27, Department of Economics and Business Economics, Aarhus University.
  37. Dungey, Mardi & Hvozdyk, Lyudmyla, 2012. "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1563-1575.
  38. Hounyo, Ulrich, 2017. "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, vol. 197(1), pages 130-152.
  39. Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2017. "Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment," CREATES Research Papers 2017-30, Department of Economics and Business Economics, Aarhus University.
  40. Eric Jacquier & Cedric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  41. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
  42. Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen, 2020. "The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas," Management Science, INFORMS, vol. 66(6), pages 2474-2494, June.
  43. Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & van Dijk, D.J.C., 2012. "Realized mixed-frequency factor models for vast dimensional covariance estimation," ERIM Report Series Research in Management ERS-2012-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  44. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
  45. Dovonon, Prosper & Gonçalves, Sílvia & Meddahi, Nour, 2013. "Bootstrapping realized multivariate volatility measures," Journal of Econometrics, Elsevier, vol. 172(1), pages 49-65.
  46. Chen, Xi & Wang, Junbo & Wu, Chunchi, 2022. "Jump and volatility risk in the cross-section of corporate bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
  47. Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017. "Time-varying continuous and jump betas: The role of firm characteristics and periods of stress," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 1-19.
  48. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, Department of Economics and Business Economics, Aarhus University.
  49. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2014. "Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data," Working Papers 2014-12, University of Tasmania, Tasmanian School of Business and Economics.
  50. Pelger, Markus, 2019. "Large-dimensional factor modeling based on high-frequency observations," Journal of Econometrics, Elsevier, vol. 208(1), pages 23-42.
  51. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  52. Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018. "High-frequency Characterisation of Indian Banking Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
  53. Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
  54. Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020. "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 314-330, September.
  55. Reiß, Markus & Todorov, Viktor & Tauchen, George, 2015. "Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2955-2988.
  56. Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
  57. Dinesh Gajurel & Biplob Chowdhury, 2021. "Realized Volatility, Jump and Beta: evidence from Canadian Stock Market," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6376-6397, November.
  58. Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2014. "Large Deviations Of The Realized (Co-)Volatility Vector," Working Papers hal-01082903, HAL.
  59. Lars Winkelmann & Markus Bibinger & Tobias Linzert, 2016. "ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 613-629, June.
  60. Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
  61. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
  62. Hacène Djellout & Arnaud Guillin & Yacouba Samoura, 2017. "Large Deviations Of The Realized (Co-)Volatility Vector," Post-Print hal-01082903, HAL.
  63. Phin, Andrew & Prono, Todd & Reeves, Jonathan J. & Saxena, Konark, 2022. "Shifts in beta and the TARP announcement," Finance Research Letters, Elsevier, vol. 47(PB).
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