Article ID Journal Published Year Pages File Type
5089469 Journal of Banking & Finance 2013 10 Pages PDF
Abstract
► We propose a new estimator of the integrated co-volatility of two assets. ► The estimator is robust to noisy non-synchronous observations and jumps. ► The estimator is used to disentangle the effect of jumps on systematic risk. ► The contribution of different aspects can be calculated explicitly from the estimator.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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