Liao, Yin; Anderson, Heather M. - 2011
This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize … intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel …-based co-jump test. When applied to a panel of high frequency data from the Chinese mainland stock market, our first …
