Fulop, Andras; Li, Junye; Yu, Jun - School of Economics, Singapore Management University - 2011
intensity, generating self-exciting co-jumps of prices and volatility and jump clustering. To properly deal with parameter … neg- ative jumps in asset returns mainly through jumps in diffusion volatility. We find substantial evidence for jump … clustering, in particular, after the recent financial crisis in 2008, even though parameters driving dynamics of the jump …