Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360): Difference between revisions

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+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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+M05
@@ Property / Mathematics Subject Classification ID: 62M05 / rank @@
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+F05
@@ Property / Mathematics Subject Classification ID: 60F05 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
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@@ Property / zbMATH DE Number @@
+6623652
@@ Property / zbMATH DE Number: 6623652 / rank @@
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@@ Property / zbMATH Keywords @@
+quadratic covariation
@@ Property / zbMATH Keywords: quadratic covariation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+continuous and jump components
@@ Property / zbMATH Keywords: continuous and jump components / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+overnight jumps
@@ Property / zbMATH Keywords: overnight jumps / rank @@
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@@ Property / zbMATH Keywords @@
+news surprises
@@ Property / zbMATH Keywords: news surprises / rank @@
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+financial crisis
@@ Property / zbMATH Keywords: financial crisis / rank @@
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+https://doi.org/10.1016/j.jeconom.2016.05.002
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@@ Property / cites work @@
+Portfolio choice with jumps: a closed-form solution
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+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
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+Volatility estimators for discretely sampled Lévy processes
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+Testing for jumps in a discretely observed process
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+Q5495335
@@ Property / cites work: Q5495335 / rank @@
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@@ Property / cites work @@
+Testing for jumps in noisy high frequency data
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+The surprise element: Jumps in interest rates.
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+Do price and volatility jump together?
@@ Property / cites work: Do price and volatility jump together? / rank @@
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+Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach
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+A Tale of Two Time Scales
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@@ links / mardi / name / links / mardi / name @@
+Publication:308360