Increased correlation among asset classes: are volatility or jumps to blame, or both?
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Cites work
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
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Cited in
(23)- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
- Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
- Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
- 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
- Cojumps and asset allocation in international equity markets
- Testing for mutually exciting jumps and financial flights in high frequency data
- Overnight GARCH-Itô Volatility Models
- Volatility models for stylized facts of high‐frequency financial data
- The drift burst hypothesis
- Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
- Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
- Entropy measure of credit risk in highly correlated markets
- Testing for jump spillovers without testing for jumps
- Characterizing financial crises using high-frequency data
- 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 realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
- Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Bootstrapping high-frequency jump tests
- Jump‐robust testing of volatility functions in continuous time models
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