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Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? · Study

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ArticleIncreased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?

Yacine Aı̈t-Sahalia2014

OA

Articlegreen2014

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

Yacine Aı̈t-Sahalia · Dacheng Xiu

104 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 104 citations exist upstream.

References

2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2013Political uncertainty and risk premia 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2001The Distribution of Realized Exchange Rate Volatility n.d.Multivariate GARCH models: a survey 2003The Impact of Jumps in Volatility and Returns 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Cited by

2016A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data 2016Dynamic transmissions between Sukuk and bond markets 2016The Drift Burst Hypothesis 2020Realized Semicovariances 2017When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility 2016Asymptotic theory for large volatility matrix estimation based on high-frequency financial data 2018Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading

Details

Year2014

Typearticle

Published2014-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations104

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2016.05.002

openalex_workW2340190607

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