Publications [#238963] of George E. Tauchen

Journal Articles

1. Bollerslev, T; Law, TH; Tauchen, G, Risk, jumps, and diversification, Journal of Econometrics, vol. 144 no. 1 (May, 2008), pp. 234-256, Elsevier BV, ISSN 0304-4076 [doi]
   (last updated on 2024/01/01)

   Abstract:
   We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the cross-covariance structure in the returns to identify non-diversifiable jumps, we find strong evidence for many modest-sized, yet highly significant, cojumps that simply pass through standard jump detection statistics when applied on a stock-by-stock basis. Our results are further corroborated by a striking within-day pattern in the significant cojumps, with a sharp peak at the time of regularly scheduled macroeconomic news announcements. © 2008.