the times when the risk factors are detected to have a jump. The test statistic is a cross‐sectional average of a measure … assessing the magnitude of firm‐specific risk in asset prices at the factor jump events. Empirical application to S&P 100 stocks …

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …