We propose a frequency-specific framework to link the common features in the multivariate high-frequency price jumps with the low-frequency exogenous factors. We introduce the measures of commonality and multiplicity based on high-frequency data and define the notions of co-arrivals and co-jumps...

We propose high-frequency DCC-MIDAS models to estimate high- and low-frequency correlations in the 10-year government bond spreads for Belgium, France, Italy, the Netherlands and Spain relative to Germany, from 1-June-2007 to the 31-May-2012. The high-frequency component, reflecting financial...

The recent financial turmoil has stimulated a rich debate in the banking and financial literature on the identification of the determinants of systemic risk, as well as of devices to forecast and prevent crises. In this paper, we explore the contribution of corporate variables on the systemic...