Clements, Adam; Liao, Yin - National Centre for Econometric Research (NCER) - 2013
. Previous work has found that jumps at an index level are not related to future volatility. Here we examine the links between co-jumps … common, or co-jumps between the stocks are unrelated to the level of volatility or correlation. On the other hand, both … volatility and correlation are lower subsequent to a co-jump. This indicates that co-jumps are a transient event but in contrast …