Testing for co-jumps in financial markets

Novotny, J. & Urga, G. (2017). Testing for co-jumps in financial markets. Journal of Financial Econometrics, doi: 10.1093/jjfinec/nbx028

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Abstract

In this paper, we introduce the notion of co-jumps within the co-features framework. We formulate a limiting theory of co-jumps and discuss their discrete sample properties. In the presence of idiosyncratic price jumps, we identify the notion of weak co-jumps. We illustrate the empirical relevance of the proposed framework via an empirical application using the components of the Dow Jones Industrial Average 30 index running from 1 January 2010 to 30 June 2012, sampled at a five-min frequency.

Item Type: Article
Additional Information: This is a pre-copyedited, author-produced version of an article accepted for publication in 'Journal of Finanacial Econometrics' following peer review. The version of record Novotny, J. & Urga, G. (2017) Testing for Co-jumps in Financial Markets. Journal of Financial Econometrics, nbx028, https://doi.org/10.1093/jjfinec/nbx028 is available online at: https://doi.org/10.1093/jjfinec/nbx028.
Uncontrolled Keywords: Co-features, Jumps and Co-jumps, Portfolio Diversification, Dow Jones Industrial Average 30 Index
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/18516

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