{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,24]],"date-time":"2026-04-24T06:59:38Z","timestamp":1777013978706,"version":"3.51.4"},"reference-count":35,"publisher":"The Econometric Society","issue":"2","license":[{"start":{"date-parts":[[2019,1,1]],"date-time":"2019-01-01T00:00:00Z","timestamp":1546300800000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["QE"],"abstract":"<jats:p>We develop tests for deciding whether a large cross\u2010section 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\u2010sectional dimension and sampling frequency, and essentially no restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high\u2010frequency returns at the times when the risk factors are detected to have a jump. The test statistic is a cross\u2010sectional average of a measure of discrepancy in the estimated jump factor loadings of the assets at consecutive jump times. Under the null hypothesis, the discrepancy in the factor loadings is due to a measurement error, which shrinks with the increase of the sampling frequency, while under an alternative of a noisy jump factor model this discrepancy contains also nonvanishing firm\u2010specific shocks. The limit behavior of the test under the null hypothesis is nonstandard and reflects the strong\u2010dependence in the cross\u2010section of returns as well as their heteroskedasticity which is left unspecified. We further develop estimators for assessing the magnitude of firm\u2010specific risk in asset prices at the factor jump events. Empirical application to S&amp;P 100 stocks provides evidence for exact one\u2010factor structure at times of big market\u2010wide jump events.<\/jats:p>","DOI":"10.3982\/qe1060","type":"journal-article","created":{"date-parts":[[2019,5,7]],"date-time":"2019-05-07T17:09:22Z","timestamp":1557248962000},"page":"419-456","source":"Crossref","is-referenced-by-count":21,"title":["Jump factor models in large cross\u2010sections"],"prefix":"10.3982","volume":"10","author":[{"given":"Jia","family":"Li","sequence":"first","affiliation":[{"name":"Department of Economics, Duke University"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Viktor","family":"Todorov","sequence":"additional","affiliation":[{"name":"Department of Finance, Kellogg School of Management, Northwestern University"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"George","family":"Tauchen","sequence":"additional","affiliation":[{"name":"Department of Economics, Duke University"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"2359","published-online":{"date-parts":[[2019]]},"reference":[{"key":"quan12169-bib-0001","volume-title":"High-Frequency Financial Econometrics","author":"A\u00eft-Sahalia","year":"2014"},{"key":"quan12169-bib-0002","author":"A\u00eft-Sahalia","year":"2018","journal-title":"Journal of the American Statistical Association"},{"key":"quan12169-bib-0003","doi-asserted-by":"crossref","first-page":"443","DOI":"10.1016\/S0304-405X(02)00068-5","volume":"63","author":"Ang","year":"2002","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"quan12169-bib-0004","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1111\/1468-0262.00392","volume":"71","author":"Bai","year":"2003","journal-title":"Econometrica"},{"issue":"4","key":"quan12169-bib-0005","doi-asserted-by":"crossref","first-page":"1229","DOI":"10.3982\/ECTA6135","volume":"77","author":"Bai","year":"2009","journal-title":"Econometrica"},{"issue":"1","key":"quan12169-bib-0006","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1111\/1468-0262.00273","volume":"70","author":"Bai","year":"2002","journal-title":"Econometrica"},{"key":"quan12169-bib-0007","doi-asserted-by":"crossref","first-page":"2198","DOI":"10.1287\/mnsc.2015.2234","volume":"62","author":"Bajgrowicz","year":"2016","journal-title":"Management Science"},{"issue":"3","key":"quan12169-bib-0008","doi-asserted-by":"crossref","first-page":"C1","DOI":"10.1111\/j.1368-423X.2008.00275.x","volume":"12","author":"Barndorff-Nielsen","year":"2009","journal-title":"The Econometrics Journal"},{"key":"quan12169-bib-0009","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1093\/jjfinec\/nbh001","volume":"2","author":"Barndorff-Nielsen","year":"2004","journal-title":"Journal of Financial Econometrics"},{"key":"quan12169-bib-0010","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1093\/jjfinec\/nbi022","volume":"4","author":"Barndorff-Nielsen","year":"2006","journal-title":"Journal of Financial Econometrics"},{"key":"quan12169-bib-0011","doi-asserted-by":"crossref","first-page":"179","DOI":"10.1111\/j.1540-6261.2009.01527.x","volume":"65","author":"Barras","year":"2010","journal-title":"Journal of Finance"},{"key":"quan12169-bib-0012","doi-asserted-by":"crossref","first-page":"464","DOI":"10.1016\/j.jfineco.2016.02.001","volume":"120","author":"Bollerslev","year":"2016","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"quan12169-bib-0013","doi-asserted-by":"crossref","first-page":"713","DOI":"10.3982\/ECTA7432","volume":"80","author":"Connor","year":"2012","journal-title":"Econometrica"},{"key":"quan12169-bib-0014","doi-asserted-by":"crossref","DOI":"10.1016\/0304-405X(93)90023-5","volume":"33","author":"Fama","year":"1993","journal-title":"Journal of Financial Economics"},{"key":"quan12169-bib-0015","doi-asserted-by":"crossref","unstructured":"Gagliardini, P., E. 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