Lee, Ming-Chih; Chiu, Chien-Liang; Lee, Yen-Hsien - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 199-210
This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377–389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins...
