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

DOI10.1016/j.jeconom.2016.05.002zbMath1443.62326OpenAlexW2340190607MaRDI QIDQ308360

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

zbMATH Keywords

financial crisisquadratic covariationcontinuous and jump componentsnews surprisesovernight jumps

Mathematics Subject Classification ID

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

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