Multi-jumps

Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò

MPRA Paper from University Library of Munich, Germany

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.

Keywords: multi-jumps; co-jumps; price jumps; multivariate jumps; jumps testing (search for similar items in EconPapers)
JEL-codes: C12 C32 C51 C53 C58 G01 G11 G17 (search for similar items in EconPapers)
Date: 2014-08-28
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Working Paper: Multi-jumps (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:58175

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