Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of Risk Finance 15 (2014) March, pp. 131-148
Purpose –This paper aims to enhance a co-skew-based risk measurement methodology initially introduced in Polimenis, by extending it for the joint estimation of the jump betas for two stocks. Design/methodology/approach –The authors introduce the possibility of idiosyncratic jumps and analyze...