Testing for co-jumps in financial markets

0496049 - NHU-C 2019 RIV GB eng J - Journal Article
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
Institutional support: Progres-Q24
Keywords : co-features * Dow Jones Industrial Average 30 index * jumps and co-jumps
OECD category: Applied Economics, Econometrics
Impact factor: 1.902, year: 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.
Permanent Link: http://hdl.handle.net/11104/0288861