Show simple item record

dc.contributor.author Bollerslev, Tim en_US
dc.contributor.author Law, Tzuo Hann en_US
dc.contributor.author Tauchen, George en_US
dc.date.accessioned 2010-03-09T15:29:33Z
dc.date.available 2010-03-09T15:29:33Z
dc.date.issued 2008 en_US
dc.identifier.citation Bollerslev, Tim et.al. Risk, jumps, and diversification. Journal of Econometrics. 144.1. (May 2008): 234–256. Print.
dc.identifier.uri http://hdl.handle.net/10161/1911
dc.identifier.uri http://dx.doi.org/10.1016/j.jeconom.2008.01.006
dc.description.abstract We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the cross-covariance structure in the returns to identify non-diversifiable jumps, we find strong evidence for many modest-sized, yet highly significant, cojumps that simply pass through standard jump detection statistics when applied on a stock-by-stock basis. Our results are further corroborated by a striking within-day pattern in the significant cojumps, with a sharp peak at the time of regularly scheduled macroeconomic news announcements. en_US
dc.format.extent 1144835 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher Elsevier
dc.title Risk, jumps, and diversification en_US
dc.type Journal Article en_US
dc.department Economics
dc.relation.journal Journal of Econometrics

Files in this item

This item appears in the following Collection(s)

Show simple item record