This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...

This paper devises and tests a state-dependent approach to forecasting the downside risk of financial assets. The approach has three merits. First, it proposes downside risk prediction conditional on the state of the real economy to recognize the countercyclical nature of financial risk. Second,...