Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089469 | Journal of Banking & Finance | 2013 | 10 Pages |
Abstract
⺠We propose a new estimator of the integrated co-volatility of two assets. ⺠The estimator is robust to noisy non-synchronous observations and jumps. ⺠The estimator is used to disentangle the effect of jumps on systematic risk. ⺠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
Kent Wang, Junwei Liu, Zhi Liu,