Testing for mutually exciting jumps and financial flights in high frequency data (Q1680187)
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scientific article; zbMATH DE number 6811561
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| English | Testing for mutually exciting jumps and financial flights in high frequency data |
scientific article; zbMATH DE number 6811561 |
Statements
Testing for mutually exciting jumps and financial flights in high frequency data (English)
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23 November 2017
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flight-to-safety
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flight-to-quality
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mutual excitation in jumps
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high frequency data
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stock-bond comovement
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nonparametric test
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reverse cross-excitations
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0.7879173159599304
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0.7766585350036621
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0.7703142762184143
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0.7674175500869751
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0.7608056664466858
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