of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … the times when the risk factors are detected to have a jump. The test statistic is a cross‐sectional average of a measure … of discrepancy in the estimated jump factor loadings of the assets at consecutive jump times. Under the null hypothesis …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

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