Testing for Jump Spillovers Without Testing for Jumps-Reference-Cited by-同舟云学术

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Testing for Jump Spillovers Without Testing for Jumps

Published:2019-06-19 Issue:531 Volume:115 Page:1214-1226
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

Corradi Valentina¹,Distaso Walter²,Fernandes Marcelo³^ORCID

Affiliation:

1. Department of Economics, University of Surrey, Guilford, Surrey, UK;

2. Department of Finance, Imperial College Business School, South Kensington, London, UK;

3. Sao Paulo School of Economics, FGV, Sao Paulo, SP, Brazil

Funder

ESRC

FAPESP

CNPq

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/01621459.2019.1609971

Reference59 articles.

1. Portfolio choice with jumps: A closed-form solution

2. Modeling financial contagion using mutually exciting jump processes

3. Nonparametric Transition-Based Tests for Jump Diffusions

4. Estimating the degree of activity of jumps in high frequency data

5. Identifying the successive Blumenthal–Getoor indices of a discretely observed process

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Cross-company jump spillover and the role of news;Heliyon;2024-07

2. Cross-Company Jump Spillover and the Role of News;2023

3. Forecasting volatility using double shrinkage methods;Journal of Empirical Finance;2021-06

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