Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks

By V. Todorov, Tim Bollerslev. 2010

165 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/86697613c727415ef638a84e33647e8081b0ca69

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. D. Xiu
2. V. Todorov
3. Yacine Aït-Sahalia
4. George Tauchen
5. Asger Lunde
6. P. R. Hansen
7. Tim Bollerslev
8. Jia Li

In Finance

1. V. Todorov
2. Yacine Aït-Sahalia
3. D. Xiu
4. Tim Bollerslev
5. George Tauchen
6. Asger Lunde
7. P. R. Hansen
8. Andrew J. Patton

Citations in the corpus

• IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS (2012, background): “In [33] a threshold estimator of β̂((1,2)) with reduced asymptotic variance is introduced at the cost of using an auxiliary asset X((3)).”
• Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data (2017, methodology): “For example, Mykland and Zhang (2006) develop tools to conduct analysis of variance as well as univariate regression, while Todorov and Bollerslev (2010) add a jump component in the univariate regression setting and Aı̈t-Sahalia et al. (2014) extend the factor model further to allow for…”
• Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, unknown): “(13) As formally shown in Todorov and Bollerslev (2010), this estimator is indeed consistent for β (d,i) t for n→∞.”
• REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY (2012, background): “The importance of separating jump and continuous component of returns in relation to betas as highlighted in Todorov and Bollerslev (2010) and Tsay and Yeh (2011) allow the dynamic beta to vary within the day.”
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (2017, unknown): “As explained by Todorov and Bollerslev (2010), the harder they are to distinguish from the diffusive part of X .”
• Large-dimensional factor modeling based on high-frequency observations (2019, unknown): “Bollerslev and Todorov (2010)) and are discussed below when implemented in simulations.”
• Adaptive estimation of continuous-time regression models using high-frequency data (2017, background): “The second is the estimator in Barndorff-Nielsen and Shephard (2004), Todorov and Bollerslev (2010) and Gobbi and Mancini (2012).”