Increased correlation among asset classes: are volatility or jumps to blame, or both?

DOI10.1016/J.JECONOM.2016.05.002zbMATH Open1443.62326OpenAlexW2340190607MaRDI QIDQ308360FDOQ308360

Authors: Yacine Aït-Sahalia, Dacheng Xiu 

Publication date: 6 September 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.002

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zbMATH Keywords

quadratic covariationcontinuous and jump componentsfinancial crisisnews surprisesovernight jumps

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Cites Work

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• Title not available (Why is that?)
• Realized jumps on financial markets and predicting credit spreads
• Do price and volatility jump together?

Cited In (23)

• Overnight GARCH-Itô Volatility Models
• Cojumps and asset allocation in international equity markets
• Adaptive robust large volatility matrix estimation based on high-frequency financial data
• Empirical asset pricing with multi-period disaster risk: a simulation-based approach
• The drift burst hypothesis
• Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
• Entropy measure of credit risk in highly correlated markets
• Jump‐robust testing of volatility functions in continuous time models
• Testing for mutually exciting jumps and financial flights in high frequency data
• Bootstrapping high-frequency jump tests
• Volatility models for stylized facts of high‐frequency financial data
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
• Testing for jump spillovers without testing for jumps
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
• A Hausman test for the presence of market microstructure noise in high frequency data
• Sparse PCA-based on high-dimensional Itô processes with measurement errors
• Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Characterizing financial crises using high-frequency data
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations

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