Systematic jump risk

DOI10.1214/24-aap2068zbMath1548.60057MaRDI QIDQ6620071

Huidi Lin, Viktor Todorov, Jean Jacod

Publication date: 16 October 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

high-frequency datastable convergencedynamic factor modelsnonparametric inferencesystematic riskItô semimartingalehigh-dimensional analysis

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Jump processes on general state spaces (60J76)

Cites Work

• Risk, jumps, and diversification
• Discretization of processes.
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• Testing for mutually exciting jumps and financial flights in high frequency data
• Large-dimensional factor modeling based on high-frequency observations
• Econometrics of co-jumps in high-frequency data with noise
• Testing for common arrivals of jumps for discretely observed multidimensional processes
• Volatility is rough
• Testing for Jump Spillovers Without Testing for Jumps
• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
• Option pricing when underlying stock returns are discontinuous
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Stock co-jump networks
• Unnamed Item

Related Items (1)

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