Multi-jumps

Massimiliano Caporin, Aleksey Kolokolov, Roberto Reno

Research output: Working paper/PreprintWorking paper

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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.
Original languageEnglish
PublisherDepartment of Statistics, Lund university
Number of pages64
Publication statusPublished - 2015

Publication series

NameWorking Papers in Statistics
No.3

Subject classification (UKÄ)

  • Probability Theory and Statistics

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