Jumps and betas: A new framework for disentangling and estimating systematic risks
Publication
, Journal Article
Todorov, V; Bollerslev, T
Published in: Journal of Econometrics
August 1, 2010
We provide a new theoretical framework for disentangling and estimating the sensitivity towards systematic diffusive and jump risks in the context of factor models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the notion of increasingly finer sampled returns over fixed time intervals. We show consistency and derive the asymptotic distributions of our estimators. In an empirical application of the new procedures involving high-frequency data for forty individual stocks, we find that the estimated monthly diffusive and jump betas with respect to an aggregate market portfolio differ substantially for some of the stocks in the sample. © 2009 Elsevier B.V. All rights reserved.
Duke Scholars
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Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
August 1, 2010
Volume
157
Issue
2
Start / End Page
220 / 235
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
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Todorov, V., & Bollerslev, T. (2010). Jumps and betas: A new framework for disentangling and estimating systematic risks. Journal of Econometrics, 157(2), 220–235. https://doi.org/10.1016/j.jeconom.2009.11.010
Todorov, V., and T. Bollerslev. “Jumps and betas: A new framework for disentangling and estimating systematic risks.” Journal of Econometrics 157, no. 2 (August 1, 2010): 220–35. https://doi.org/10.1016/j.jeconom.2009.11.010.
Todorov V, Bollerslev T. Jumps and betas: A new framework for disentangling and estimating systematic risks. Journal of Econometrics. 2010 Aug 1;157(2):220–35.
Todorov, V., and T. Bollerslev. “Jumps and betas: A new framework for disentangling and estimating systematic risks.” Journal of Econometrics, vol. 157, no. 2, Aug. 2010, pp. 220–35. Scopus, doi:10.1016/j.jeconom.2009.11.010.
Todorov V, Bollerslev T. Jumps and betas: A new framework for disentangling and estimating systematic risks. Journal of Econometrics. 2010 Aug 1;157(2):220–235.
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
August 1, 2010
Volume
157
Issue
2
Start / End Page
220 / 235
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics