Jumps and betas: a new framework for disentangling and estimating systematic risks

DOI10.1016/j.jeconom.2009.11.010zbMath1400.62240OpenAlexW2902954678MaRDI QIDQ736514

Tim Bollerslev, Viktor Todorov

Publication date: 4 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.11.010

zbMATH Keywords

high-frequency datafactor modelssystematic riskcommon jumpsrealized variation

Mathematics Subject Classification ID

Related Items (28)

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Cites Work

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