Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Created claim: MaRDI profile type (P1460): MaRDI publication profile (Q5976449), #quickstatements; #temporary_batch_1710461151948 |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 01:37, 15 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Increased correlation among asset classes: are volatility or jumps to blame, or both? |
scientific article |
Statements
Increased correlation among asset classes: are volatility or jumps to blame, or both? (English)
0 references
6 September 2016
0 references
quadratic covariation
0 references
continuous and jump components
0 references
overnight jumps
0 references
news surprises
0 references
financial crisis
0 references
