System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Jean-Yves Gnabo; Lyudmyla Hvozdyk; Jérôme Lahaye
| Year of publication: |
2014
|
|---|---|
| Authors: | Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; Lahaye, Jérôme |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 48.2014, p. 147-174
|
| Subject: | Cojump | Jump | Semi-martingale | High-frequency | Risk | Diversification | Bootstrap-Verfahren | Bootstrap approach | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Schätzung | Estimation | Schätztheorie | Estimation theory | USA | United States | Anleihe | Bond | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010464002