
Risk, jumps, and diversification
Publication
, Journal Article
Bollerslev, T; Law, TH; Tauchen, G
Published in: Journal of Econometrics
May 1, 2008
We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the cross-covariance structure in the returns to identify non-diversifiable jumps, we find strong evidence for many modest-sized, yet highly significant, cojumps that simply pass through standard jump detection statistics when applied on a stock-by-stock basis. Our results are further corroborated by a striking within-day pattern in the significant cojumps, with a sharp peak at the time of regularly scheduled macroeconomic news announcements. © 2008.
Duke Scholars
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
May 1, 2008
Volume
144
Issue
1
Start / End Page
234 / 256
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Bollerslev, T., Law, T. H., & Tauchen, G. (2008). Risk, jumps, and diversification. Journal of Econometrics, 144(1), 234–256. https://doi.org/10.1016/j.jeconom.2008.01.006
Bollerslev, T., T. H. Law, and G. Tauchen. “Risk, jumps, and diversification.” Journal of Econometrics 144, no. 1 (May 1, 2008): 234–56. https://doi.org/10.1016/j.jeconom.2008.01.006.
Bollerslev T, Law TH, Tauchen G. Risk, jumps, and diversification. Journal of Econometrics. 2008 May 1;144(1):234–56.
Bollerslev, T., et al. “Risk, jumps, and diversification.” Journal of Econometrics, vol. 144, no. 1, May 2008, pp. 234–56. Scopus, doi:10.1016/j.jeconom.2008.01.006.
Bollerslev T, Law TH, Tauchen G. Risk, jumps, and diversification. Journal of Econometrics. 2008 May 1;144(1):234–256.

Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
May 1, 2008
Volume
144
Issue
1
Start / End Page
234 / 256
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics