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Testing for common arrivals of jumps for discretely observed multidimensional processes

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References

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2015Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News153 cited

2009Jumps and betas: A new framework for disentangling and estimating systematic risks146 cited

2011Intraday jumps and US macroeconomic news announcements145 cited

2010Do price and volatility jump together?134 cited

2009Empirical evidence on jumps in the term structure of the US Treasury Market113 cited

2012Time-varying leverage effects105 cited

2014Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?104 cited

2013Cojumps in stock prices: Empirical evidence94 cited

2020Characteristics of spillovers between the US stock market and precious metals and oil84 cited

2015Modelling systemic price cojumps with Hawkes factor models79 cited

2017Systemic co-jumps79 cited

2012Cojumping: Evidence from the US Treasury bond and futures markets78 cited

2012IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS77 cited