Purpose This paper aims to present the results of further investigating the Polimenis (2012) stochastic model, which aims to decompose the stock return evolution into positive and negative jumps, and a Brownian noise (white noise), by taking into account different noise levels. This paper...

Purpose – This paper aims to enhance a co-skew-based risk measurement methodology initially introduced in Polimenis, by extending it for the joint estimation of the jump betas for two stocks. Design/methodology/approach – The authors introduce the possibility of idiosyncratic jumps and...