Increased correlation among asset classes : Are volatility or jumps to blame, or both?

Yacine Aït-Sahalia, Dacheng Xiu

Year of publication:	October 2016
Authors:	Aït-Sahalia, Yacine ; Xiu, Dacheng
Published in:	Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 205-219
Subject:	Quadratic covariation \| Continuous and jump components \| Overnight jumps \| News surprises \| Financial crisis \| Volatilität \| Volatility \| Finanzkrise \| Korrelation \| Correlation \| Kapitaleinkommen \| Capital income \| Ankündigungseffekt \| Announcement effect \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Börsenkurs \| Share price \| Finanzmarkt \| Financial market

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