of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US … across several estimation methods. Panel Granger causality test results indicate that there indeed is a Granger …

the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those … fluctuations, equity prices, panel vector autoregression …