Publikace na Fakulta sociálních věd, Matematicko-fyzikální fakulta, Centrum pro ekonomický výzkum a doktorské studium |
2018
Abstrakt
In this paper, we introduce the notion of co-jumps within the co-features framework. We formulate a limiting theory of co-jumps and discuss their discrete sample properties.
In the presence of idiosyncratic price jumps, we identify the notion of weak co-jumps. We illustrate the empirical relevance of the proposed framework via an empirical application using the components of the Dow Jones Industrial Average 30 index running from 1 January 2010 to 30 June 2012, sampled at a five-min frequency.