Jump factor models in large cross-sections

• Main Authors: LI, Jia, TODOROV, Viktor, TAUCHEN, George.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Factor model; panel high-frequency data; jumps; semimartingale; specification test; stochastic volatility; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2587; https://ink.library.smu.edu.sg/context/soe_research/article/3586/viewcontent/664_3180_1_SP_pvoa_cc_by.pdf
• Institution: Singapore Management University

We develop tests for deciding whether a large cross-section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing cross-sectional...