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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.

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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

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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.
Journal cover image

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