Jumps and betas: A new framework for disentangling and estimating systematic risks |
| |
Authors: | Viktor Todorov Tim Bollerslev |
| |
Affiliation: | 1. Department of Finance, Kellogg School of Management, Northwestern University, Evanston, IL 60208, United States;2. Department of Economics, Duke University, Durham, NC 27708, United States |
| |
Abstract: | We provide a new theoretical framework for disentangling and estimating the sensitivity towards systematic diffusive and jump risks in the context of factor models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the notion of increasingly finer sampled returns over fixed time intervals. We show consistency and derive the asymptotic distributions of our estimators. In an empirical application of the new procedures involving high-frequency data for forty individual stocks, we find that the estimated monthly diffusive and jump betas with respect to an aggregate market portfolio differ substantially for some of the stocks in the sample. |
| |
Keywords: | C13 C14 G10 G12 |
本文献已被 ScienceDirect 等数据库收录! |
|