Arbeitspapier
Systemic co-jumps
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and correlations when they come along with bad (good) news. These systemic events and their implications can be easily overlooked by traditional univariate jump statistics applied to stock indices. They are instead revealed in a clearly cut way by using a novel test procedure applied to individual assets, which is particularly effective on high-volume stocks.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 149
- Klassifikation
-
Wirtschaft
Financial Econometrics
Portfolio Choice; Investment Decisions
Semiparametric and Nonparametric Methods: General
- Thema
-
Jumps
Return predictability
Systemic events
Variance Risk Premium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporin, Massimiliano
Kolokolov, Alexey
Renò, Roberto
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
- (wo)
-
Frankfurt a. M.
- (wann)
-
2016
- DOI
-
doi:10.2139/ssrn.2851811
- Handle
- URN
-
urn:nbn:de:hebis:30:3-417017
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporin, Massimiliano
- Kolokolov, Alexey
- Renò, Roberto
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Entstanden
- 2016
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