Testing and modeling jump contagion across international stock markets : a nonparametric intraday approach
Year of publication: |
November 2015
|
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Authors: | Jawadi, Fredj ; Louhichi, Waël ; Cheffou, Abdoulkarim Idi |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 26.2015, p. 64-84
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Subject: | Jump contagion effect | Realized volatility | Overlapping and non-overlapping trading hours | Nonparametric test | Threshold autoregressive models | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Aktienmarkt | Stock market | Schätzung | Estimation | Börsenkurs | Share price | Theorie | Theory | Autokorrelation | Autocorrelation | Ansteckungseffekt | Contagion effect | Kapitaleinkommen | Capital income |
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