Caporin, Massimiliano; Kolokolov, Aleksey; Renò, Roberto - Volkswirtschaftliche Fakultät, … - 2014
We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring … multi-jumps in a panel of liquid stocks is more statistically powerful and economically informative than the detection of … univariate jumps in the market index. On the contrary of index jumps, multi-jumps can indeed be associated with sudden and large …