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Co-Jumps, Co-Jump Tests, and Volatility Forecasting: Monte Carlo and Empirical Evidence
2022
Journal of Risk and Financial Management
This study classifies jumps into idiosyncratic jumps and co-jumps to quantitatively identify systematic risk and idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes than the idiosyncratic risk in an individual asset, which indicates that volatilities from one sector are largely derived from the contagious effect of other sectors. We further investigated the importance of idiosyncratic jumps and co-jumps to predict
doi:10.3390/jrfm15080334
fatcat:lrek7kfbgnecpoar5eboubth4y