Testing for mutually exciting jumps and financial flights in high frequency data
Mardi Dungey, Deniz Erdemlioglu, Marius Matei, Xiye Yang
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Dungey, Mardi H. ; Erdemlioglu, Deniz ; Matei, Marius ; Yang, Xiye |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 202.2018, 1, p. 18-44
|
| Subject: | Flight-to-safety | Flight-to-quality | Mutual excitation in jumps | High frequency data | Stock-bond comovement | Volatilität | Volatility | Finanzmarkt | Financial market | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Theorie | Theory | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011974551