This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich …, time and space amplification of jumps in option markets. We develop a semi-parametric estimation procedure employing a …

patterns. We consider distributions with heavy tails to address occurrences of jumps in tick by tick discrete prices changes …

-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic … simultaneous equations models, specification tests of calibrated option pricing models, asymptotic inference in multiple … duration approach, refinements in maximum likelihood inference on spatial autocorrelation in panel data, statistical inference …