We perform a comprehensive Monte Carlo comparison between nine procedures available in the literature to detect jumps in financial assets proposed by Barndorff-Nielsen and Shephard (2006), Andersen et al. (2007), Lee and Mykland (2008), A¨ıt-Sahalia and Jacod (2008), Jiang and Oomen (2008),...

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...

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of multiple sectors. First, we use nonparametric kernel method to derive test statistics that assign flexible weight to each lag order and are able to check a growing number of lags...

We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor loadings. Factors are obtained as principal components, extracted from vintage macro-datasets that combine FRED-MD and OECD...

A portfolio-based aggregation method is proposed to construct asset class and portfolio liquidity risk indicators. The asset class indicators are constructed by aggregating financial, monetary and credit variables to measure the presence of (il)liquidity in the Equity Europe, Long Term Italian...