Questo sito utilizza solo cookie tecnici per il corretto funzionamento delle pagine web e per il miglioramento dei servizi.
Se vuoi saperne di più o negare il consenso consulta l'informativa sulla privacy.
Proseguendo la navigazione del sito acconsenti all'uso dei cookie.
Se vuoi saperne di più o negare il consenso consulta l'informativa sulla privacy.
Proseguendo la navigazione del sito acconsenti all'uso dei cookie.
Seminario del 2022
2022
15 giugno
In a factor model for a large panel of N asset prices, a random time S is called a “systematic
jump time” if it is not a jump time of any of the factors, but nevertheless is a jump time for a
significant number of prices: one might for example think that those S’s are jump times of some
hidden or unspecified factors. Our aim is to test whether such systematic jumps exist and, if they
do, to estimate a suitably defined “aggregated measure” of their sizes. The setting is the usual
high frequency setting with a finite time horizon T and observations of all prices and factors at the
times iT/n for i = 0, . . . , n. We suppose that both n and N are large, and the asymptotic results
(including feasible estimation of the above aggregated measure) are given when both go to infinity,
without imposing restrictions on their relative size. In an empirical application, we document the
existence of systematic jumps and further show that the associated risk commands a nontrivial risk
premium.