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Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks · Study

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PreprintJumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks

Viktor Todorov2008

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Preprintgreen2008

Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks

Viktor Todorov · Tim Bollerslev

51 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1976The arbitrage theory of capital asset pricing 1976Option pricing when underlying stock returns are discontinuous 2005Stochastic Integration and Differential Equations 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2002Asymmetric correlations of equity portfolios

Cited by

2009INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES 2018The impact of jumps on carry trade returns 2008Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets 2006Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

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2009Jumps and betas: A new framework for disentangling and estimating systematic risksarticle · 28 shared references 2008Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returnspreprint · 19 shared references 2011Fact or Friction: Jumps at Ultra High Frequencypreprint · 18 shared references 2009Stochastic Volatilityother · 17 shared references 2015Large-Dimensional Factor Modeling Based on High-Frequency Observationsarticle · 16 shared references 2014Fact or friction: Jumps at ultra high frequencyarticle · 15 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations51

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1150066

openalex_workW2134807741

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