Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514)
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scientific article; zbMATH DE number 6609145
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jumps and betas: a new framework for disentangling and estimating systematic risks |
scientific article; zbMATH DE number 6609145 |
Statements
Jumps and betas: a new framework for disentangling and estimating systematic risks (English)
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4 August 2016
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factor models
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systematic risk
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common jumps
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high-frequency data
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realized variation
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0.8579382
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0.8567217
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0.83932227
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0.83333224
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0.83057344
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0.82910776
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0.82650125
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0.8221516
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0.82077014
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