SYSTEMATIC JUMP RISK

• 成果类型: Article
• 署名作者: Jacod, Jean; Lin, Huidi; Todorov, Viktor
• 署名单位: Sorbonne Universite; Universite Paris Cite; Northwestern University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/24-AAP2068
• 发表日期: 2024
• 页码: 4342-4386
• 关键词: co-jumps

摘要

In this paper we develop tests for detecting systematic jumps in asset prices of general form, including ones not explained by observable factors, and we further propose nonparametric estimates for them. The inference is based on a panel of high-frequency asset returns, with both the sampling frequency and the size of the cross-section increasing asymptotically. The feasible limit theory developed in the paper utilizes the different asymptotic roles played by diffusive versus jump risks and systematic versus idiosyncratic risks in statistics that involve cross-sectional averages of suitably chosen transforms of the high-frequency price increments. The rate of convergence of the statistics is determined by the two asymptotically increasing dimensions of the panel, without imposing restrictions on their relative size. In an empirical application, using the developed tools, we document the existence of systematic jump risk, that is not spanned by standard (observable) risk factors, and we further show that this risk commands a nontrivial risk premium.