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Multi-jumps

Caporin, Massimiliano; Kolokolov, Aleksey LU and Reno, Roberto (2015) In Working Papers in Statistics
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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working Paper
publication status
published
subject
in
Working Papers in Statistics
issue
3
pages
64 pages
publisher
Department of Statistics, Lund university
language
English
LU publication?
yes
id
bc81d98e-bedd-4eff-8e36-82897ac3ec8b (old id 8052730)
alternative location
http://journals.lub.lu.se/index.php/stat/article/view/15034
date added to LUP
2015-10-07 13:33:42
date last changed
2016-04-16 07:57:59
@misc{bc81d98e-bedd-4eff-8e36-82897ac3ec8b,
  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       = {Caporin, Massimiliano and Kolokolov, Aleksey and Reno, Roberto},
  language     = {eng},
  number       = {3},
  pages        = {64},
  publisher    = {ARRAY(0x9c4ba50)},
  series       = {Working Papers in Statistics},
  title        = {Multi-jumps},
  year         = {2015},
}