Počet záznamů: 1  

Testing for co-jumps in financial markets

  1. 1.
    0496049 - NHU-C 2019 RIV GB eng J - Článek v odborném periodiku
    Novotný, Jan - Urga, G.
    Testing for co-jumps in financial markets.
    Journal of Financial Econometrics. Roč. 16, č. 1 (2018), s. 118-128. ISSN 1479-8409. E-ISSN 1479-8417
    Institucionální podpora: Progres-Q24
    Klíčová slova: co-features * Dow Jones Industrial Average 30 index * jumps and co-jumps
    Obor OECD: Applied Economics, Econometrics
    Impakt faktor: 1.902, rok: 2018

    In this paper, we introduce the notion of co-jumps within the co-features framework. We formulate a limiting theory of co-jumps and discuss their discrete sample properties. In the presence of idiosyncratic price jumps, we identify the notion of weak co-jumps. We illustrate the empirical relevance of the proposed framework via an empirical application using the components of the Dow Jones Industrial Average 30 index running from 1 January 2010 to 30 June 2012, sampled at a five-min frequency.
    Trvalý link: http://hdl.handle.net/11104/0288861

     
     
Počet záznamů: 1  

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