Jump tails, extreme dependencies, and the distribution of stock returns
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Cites work
- scientific article; zbMATH DE number 3820920 (Why is no real title available?)
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
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Cited in
(30)- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
- Multiple structural changes in the tail behavior: Evidence from stock index futures returns
- Modelling systemic price cojumps with Hawkes factor models
- Systematic jump risk
- Large-dimensional factor modeling based on high-frequency observations
- US stock returns: are there seasons of excesses?
- A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio
- COMFORT: a common market factor non-Gaussian returns model
- Testing for mutually exciting jumps and financial flights in high frequency data
- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes
- Collective synchronization and high frequency systemic instabilities in financial markets
- Nonparametric inference on Lévy measures and copulas
- Joint threshold exceedances of stock index returns in bull and bear preriods
- Persistence of jump-induced tail risk and limits to arbitrage
- Exploiting the errors: a simple approach for improved volatility forecasting
- Estimation of jump tails
- Right tail information and asset pricing
- Jumps and oil futures volatility forecasting: a new insight
- Modeling multivariate extreme events using self-exciting point processes
- Estimates of the likelihood of extreme returns in international stock markets
- Extreme dependence in investor attention and stock returns -- consequences for forecasting stock returns and measuring systemic risk
- On the measurement and treatment of extremes in time series
- Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
- Rank Tests at Jump Events
- Inference on the tail process with application to financial time series modeling
- Lévy copulas: review of recent results
- Robust score and portmanteau tests of volatility spillover
- Time-varying jump tails
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