@techreport{bc81d98ebedd4eff8e3682897ac3ec8b,
title = "Multi-jumps",
abstract = "We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is more statistically powerful and economically informative than the detection of univariate jumps in the market index.On the contrary of index jumps, multi-jumps can indeed be associated with sudden and large increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and correlations which implies a sizable deterioration in the diversification potential of asset allocation.",
author = "Massimiliano Caporin and Aleksey Kolokolov and Roberto Reno",
year = "2015",
language = "English",
series = "Working Papers in Statistics",
publisher = "Department of Statistics, Lund university",
number = "3",
type = "WorkingPaper",
institution = "Department of Statistics, Lund university",
}