Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Year of publication: |
October 2016
|
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Authors: | Aït-Sahalia, Yacine ; Xiu, Dacheng |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 194.2016, 2, p. 205-219
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Subject: | Quadratic covariation | Continuous and jump components | Overnight jumps | News surprises | Financial crisis | Volatilität | Volatility | Finanzkrise | Korrelation | Correlation | Kapitaleinkommen | Capital income | Ankündigungseffekt | Announcement effect | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model |
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