Continuous and Jump Betas: Implications for Portfolio Diversification

Continuous and Jump Betas: Implications for Portfolio Diversification

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We de...

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Bibliographic Details
Main Authors: Vitali Alexeev, Mardi Dungey, Wenying Yao
Format: Article
Language:English
Published: MDPI AG 2016-06-01
Series:Econometrics
Subjects:
systematic risk
jump diffusion
portfolio diversification
high-frequency data
Online Access:http://www.mdpi.com/2225-1146/4/2/27

Internet

http://www.mdpi.com/2225-1146/4/2/27

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