Details

Autor(en) / Beteiligte

• Bandi, F.M.
• Renò, R.

Titel

Price and volatility co-jumps

Ist Teil von

• Journal of financial economics, 2016-01, Vol.119 (1), p.107-146

Ort / Verlag

Amsterdam: Elsevier B.V

Erscheinungsjahr

2016

Quelle

Access via ScienceDirect (Elsevier)

Beschreibungen/Notizen

• The nature of the dependence between discontinuities in prices and contemporaneous discontinuities in volatility (co-jumps) has been reported by many as being elusive, in terms of sign, magnitude, and statistical significance. Using a novel identification strategy in continuous time relying on trade-level information for spot variance estimation, as well as infinitesimal cross-moments, we document that a sizeable proportion of discontinuous changes in prices are associated with strongly anti-correlated, contemporaneous, discontinuous changes in volatility. Assuming a possibly nonmonotonic pricing kernel, we illustrate the equilibrium implications of price and volatility co-jumps for return and variance risk premia.