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Testing for co-jumps in financial markets

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


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.

Publication 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, is available online at:
Publisher Keywords: Co-features, Jumps and Co-jumps, Portfolio Diversification, Dow Jones Industrial Average 30 Index
Departments: Business School > Finance
Date Deposited: 13 Nov 2017 10:55
Text - Accepted Version
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