TY  - UNPD
A1  - Caporin, Massimiliano
A1  - Kolokolov, Alexey
A1  - Renò, Roberto
T1  - Systemic co-jumps
T2  - SAFE working paper series ; No. 149
N2  - The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and correlations when they come along with bad (good) news. These systemic events and their implications can be easily overlooked by traditional univariate jump statistics applied to stock indices. They are instead revealed in a clearly cut way by using a novel test procedure applied to individual assets, which is particularly effective on high-volume stocks.
T3  - SAFE working paper - 149 
KW  - Jumps
KW  - Return predictability
KW  - Systemic events
KW  - Variance Risk Premium
Y1  - 2016
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/41701
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-417017
UR  - https://ssrn.com/abstract=2851811
PB  - SAFE
CY  - Frankfurt am Main
ER  -