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

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Todorov, V; Bollerslev, T

Published Date

  • August 1, 2010

Published In

Volume / Issue

  • 157 / 2

Start / End Page

  • 220 - 235

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/j.jeconom.2009.11.010

Citation Source

  • Scopus