Friday March 20 2015, 1:00 PM in Aula Bianchi, Scuola Normale Superiore Pisa
Roberto Renò Dipartimento di Economia Politica e Statistica, Università di Siena
will deliver the seminar
“Multi-jumps”
Abstract: The simultaneous occurrence of jumps in several stocks (multi-jumps) can be associated to major nancial news, is correlated with sudden spikes of the variance risk premium, and determines an increase in the stock variances and correlations which signi cantly deteriorates the diversi cation potential of asset allocation. The latter evidence implies a reduction in the demand of stocks by an aware risk-averse investor. These facts can be easily overlooked by the usage of standard univariate jump statistics, which just lack su cient power. They are instead revealed in a clearly cut way by using a novel test based on smoothed estimators of the integrated variance of individual stocks. Joint work with Massimiliano Caporin and Aleksey Kolokolov.
All interested people are kindly invited. Best, Giacomo