Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession

DOI10.1142/9789811202391_0029zbMath1454.91365OpenAlexW3080076788MaRDI QIDQ5139429

Jessica Schlossberg, Norman R. Swanson

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0029

zbMATH Keywords

high-frequency dataexcess returnsGreat Recessionjump risksETFsbipower variation testshigh-frequency jumpsjump decompositionsjump spilloverswap variance based tests

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Jump processes on discrete state spaces (60J74)

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