System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies

Author:

Gnabo Jean-Yves,Hvozdyk Lyudmyla,Lahaye Jérôme

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Cited by 15 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. Co-Jumping of Treasury Yield Curve Rates;Studies in Nonlinear Dynamics & Econometrics;2023-11-08

2. A finite-time singularity in the dynamics of the US equity market: Will the US equity market eventually collapse?;International Review of Financial Analysis;2023-10

3. Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors;International Review of Financial Analysis;2022-05

4. On Survivor Stocks in the S&P 500 Stock Index;Journal of Risk and Financial Management;2022-02-21

5. Detection of jumps in financial market;Communications in Statistics - Simulation and Computation;2021-12-22

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