Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
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 …