Asymmetric jump beta estimation with implications forportfolio risk management

Vitali Alexeev, Giovanni Urga and Wenying Yao

Year of publication:	[2017]
Authors:	Alexeev, Vitali ; Urga, Giovanni ; Yao, Wenying
Publisher:	London : Centre for Econometric Analysis, Cass Business School
Subject:	Systematic risk \| extreme events \| jumps \| high frequency \| downside beta \| Risikomanagement \| Risk management \| CAPM \| Betafaktor \| Beta risk \| Volatilität \| Volatility \| Risiko \| Risk \| Börsenkurs \| Share price \| Schätzung \| Estimation \| Risikomaß \| Risk measure \| Schätztheorie \| Estimation theory \| Kapitaleinkommen \| Capital income

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