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 idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes than the idiosyncratic risk in an individual asset,...