from the curse of dimensionality. We apply the model to a panel of 90 daily realized volatilities pertaining to S&P100 from … (comovements, clustering, long memory, dynamic volatility, skewness and heavy tails), and that it performs fairly well in …

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at … the times when the risk factors are detected to have a jump. The test statistic is a cross‐sectional average of a measure …

are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …