Asgharian, Hossein; Bengtsson, Christoffer - In: Journal of Financial Econometrics 4 (2006) 2, pp. 167-203
In this article we study jump spillover effects between a number of country equity indexes. In order to identify the latent historical jumps of each index, we use a Bayesian approach to estimate a jump-diffusion model on each index. We look at the simultaneous jump intensities of pairs of...
