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...

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...