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 5-minute frequency.

(2018). Testing for Co-Jumps in Financial Markets [journal article - articolo]. In JOURNAL OF FINANCIAL ECONOMETRICS. Retrieved from http://hdl.handle.net/10446/128425

Testing for Co-Jumps in Financial Markets

Urga, Giovanni
2018-01-01

Abstract

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 5-minute frequency.
articolo
2018
Novony, Jan; Urga, Giovanni
(2018). Testing for Co-Jumps in Financial Markets [journal article - articolo]. In JOURNAL OF FINANCIAL ECONOMETRICS. Retrieved from http://hdl.handle.net/10446/128425
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Descrizione: This is a pre-copyedited, author-produced version of an article accepted for publication in Journal Of Financial Econometrics following peer review. The version of record Jan Novotný, Giovanni Urga, Testing for Co-jumps in Financial Markets, Journal of Financial Econometrics, Volume 16, Issue 1, Winter 2018, Pages 118–128, is available online at: https://doi.org/10.1093/jjfinec/nbx028
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/128425
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