Peng, Weijia; Yao, Chun - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-21
This study classifies jumps into idiosyncratic jumps and co-jumps to quantitatively identify systematic risk and … from the contagious effect of other sectors. We further investigated the importance of idiosyncratic jumps and co-jumps to … predict the sector-level S&P500 exchange-traded fund (ETF) volatility. It was found that the predictive content of co-jumps is …