Testing and modeling jump contagion across international stock markets : a nonparametric intraday approach
Fredj Jawadi, Waël Louhichi, Abdoulkarim Idi Cheffou
| Year of publication: |
November 2015
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|---|---|
| Authors: | Jawadi, Fredj ; Louhichi, Waël ; Cheffou, Abdoulkarim Idi |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 26.2015, p. 64-84
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| Subject: | Jump contagion effect | Realized volatility | Overlapping and non-overlapping trading hours | Nonparametric test | Threshold autoregressive models | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Ansteckungseffekt | Contagion effect | Börsenkurs | Share price | Schätzung | Estimation | Aktienmarkt | Stock market | Theorie | Theory | Autokorrelation | Autocorrelation | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2015.09.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011477277