کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096919 1376558 2010 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Jumps and betas: A new framework for disentangling and estimating systematic risks
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Jumps and betas: A new framework for disentangling and estimating systematic risks
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 157, Issue 2, August 2010, Pages 220-235
نویسندگان
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