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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
; and
organization
publishing date
type
Working paper/Preprint
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
2016-04-04 10:29:30
date last changed
2018-11-21 20:59:03
@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}},
  note         = {{Working Paper}},
  number       = {{3}},
  publisher    = {{Department of Statistics, Lund university}},
  series       = {{Working Papers in Statistics}},
  title        = {{Multi-jumps}},
  url          = {{https://lup.lub.lu.se/search/files/5551490/8054226.pdf}},
  year         = {{2015}},
}