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,...

In this paper, we introduce a class of multi-frequency financial and macroeconomic uncertainty measures. The factors are latent variables extracted from a state space model that includes multiple different frequencies of non-parametrically estimated components of quadratic variation, as well as...

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,...

In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting information associated with financial market contagion. These measures are based on the decomposition (using high-frequency financial data) of the quadratic covariation between two assets...

In recent years, the field of financial econometrics has seen tremendous gains in the amount of data available for use in modeling and prediction. Much of this data is very high frequency, and even 'tick-based', and hence falls into the category of what might be termed big data. The availability...

In this paper, we examine how the mandatory adoption of International Financial Reporting Standards (IFRS) affects ownership structure and debt covenants in the syndicated loan market. We hypothesize and document that the proportion of the loan retained by syndicate lead arrangers increases...

This study examines the impact of mandatory adoption of International Financial Reporting Standards (IFRS) on bank loan contractual terms. Our sample covers more than 20,000 bank loans for borrowers from 23 countries that mandate IFRS adoption and 16 countries that do not mandate IFRS adoption...