Publications [#237991] of Tim Bollerslev

Journal Articles

1. Todorov, V; Bollerslev, T, Jumps and betas: A new framework for disentangling and estimating systematic risks, Journal of Econometrics, vol. 157 no. 2 (August, 2010), pp. 220-235, Elsevier BV, ISSN 0304-4076 [doi]
   (last updated on 2024/04/25)

   Abstract:
   We provide a new theoretical framework for disentangling and estimating the sensitivity towards systematic diffusive and jump risks in the context of factor models. Our estimates of the sensitivities towards systematic risks, or betas, are based on the notion of increasingly finer sampled returns over fixed time intervals. We show consistency and derive the asymptotic distributions of our estimators. In an empirical application of the new procedures involving high-frequency data for forty individual stocks, we find that the estimated monthly diffusive and jump betas with respect to an aggregate market portfolio differ substantially for some of the stocks in the sample. © 2009 Elsevier B.V. All rights reserved.