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Cojumping: Evidence from the US Treasury bond and futures markets

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References

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2003Alternative models for stock price dynamics893 cited
2005The Relative Contribution of Jumps to Total Price Variance890 cited
2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
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1976The Simultaneous Determination of Spot and Futures Prices414 cited
2004Economic News and the Impact of Trading on Bond Prices413 cited
2009Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS328 cited
2006Estimating Covariation: Epps Effect, Microstructure Noise

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326 cited

2010Jumps, cojumps and macro announcements300 cited

Cited by

2017Forecasting the variance of stock index returns using jumps and cojumps55 cited
2021The effects of public sentiments and feelings on stock market behavior: Evidence from Australia51 cited
2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets39 cited
2017Testing for mutually exciting jumps and financial flights in high frequency data36 cited
2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic28 cited
2015ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates23 cited