Publications [#237996] of Tim Bollerslev

Journal Articles

1. Bollerslev, T; Todorov, V; Li, SZ, Jump tails, extreme dependencies, and the distribution of stock returns, Journal of Econometrics, vol. 172 no. 2 (January, 2013), pp. 307-324, ISSN 0304-4076 [doi]
   (last updated on 2026/01/17)

   Abstract:
   We provide a new framework for estimating the systematic and idiosyncratic jump tail risks in financial asset prices. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT) approximations and methods-of-moments for assessing the tail decay parameters and tail dependencies. On implementing the procedures with a panel of intraday prices for a large cross-section of individual stocks and the S&P 500 market portfolio, we find that the distributions of the systematic and idiosyncratic jumps are both generally heavy-tailed and close to symmetric, and show how the jump tail dependencies deduced from the high-frequency data together with the day-to-day variation in the diffusive volatility account for the "extreme" joint dependencies observed at the daily level. © 2012 Elsevier B.V. All rights reserved.