We propose two indexes informative of the cross-sectional diffusion of jumps from the analysis of a very large dataset of high-frequency returns that is not common in the literature. The two indexes have important implications in terms of asset pricing, as they capture part of the variability in stock returns that is not explained by the factors of the standard capital asset pricing model.
Systemic events and diffusion of jumps
Bonaccolto Giovanni
Software
;
2018-01-01
Abstract
We propose two indexes informative of the cross-sectional diffusion of jumps from the analysis of a very large dataset of high-frequency returns that is not common in the literature. The two indexes have important implications in terms of asset pricing, as they capture part of the variability in stock returns that is not explained by the factors of the standard capital asset pricing model.File in questo prodotto:
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