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Keywords: Asymmetric betas
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Journal Articles
Jointly estimating jump betas
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2014) 15 (2): 131–148.
Published: 17 March 2014
... and downward systematic jump risks, but also to uncover the magnitude of idiosyncratic stock skewness. Since cumulants in a Levy process evolve linearly in time, this approach is horizon independent and hence can be deployed at all frequencies. Jump betas Idiosyncratic skewness Asymmetric betas Lévy...
