Gilder, Dudley; Shackleton, Mark B.; Taylor, Stephen J. - In: Journal of Banking & Finance 40 (2014) C, pp. 443-459
We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al....
