Jump tails, extreme dependencies, and the distribution of stock returns

DOI10.1016/j.jeconom.2012.08.014zbMath1443.62334OpenAlexW2101182724MaRDI QIDQ528157

Viktor Todorov, Sophia Zhengzi Li, Tim Bollerslev

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/22014815/rp10_64.pdf

zbMATH Keywords

jumpsstochastic volatilityhigh-frequency datanonparametric estimationtail dependenceextreme eventsjump tailssystematic risks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (17)

Inference on the tail process with application to financial time series modeling ⋮ Collective synchronization and high frequency systemic instabilities in financial markets ⋮ A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio ⋮ Nonparametric inference on Lévy measures and copulas ⋮ Testing for mutually exciting jumps and financial flights in high frequency data ⋮ Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process ⋮ Lévy Copulas: Review of Recent Results ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Robust score and portmanteau tests of volatility spillover ⋮ Large-dimensional factor modeling based on high-frequency observations ⋮ On the measurement and treatment of extremes in time series ⋮ Modelling systemic price cojumps with Hawkes factor models ⋮ Modeling multivariate extreme events using self-exciting point processes ⋮ Exploiting the errors: a simple approach for improved volatility forecasting ⋮ Jumps and oil futures volatility forecasting: a new insight ⋮ COMFORT: a common market factor non-Gaussian returns model ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

Uses Software

• ismev

Cites Work

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