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Testing for Co-jumps in Financial Markets

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  • Jan Novotný
  • Giovanni Urga

Abstract

In this paper, we introduce the notion of co-jumps within the co-features framework. We formulate a limiting theory of co-jumps and discuss their discrete sample properties. In the presence of idiosyncratic price jumps, we identify the notion of weak co-jumps. We illustrate the empirical relevance of the proposed framework via an empirical application using the components of the Dow Jones Industrial Average 30 index running from 1 January 2010 to 30 June 2012, sampled at a five-min frequency.

Suggested Citation

  • Jan Novotný & Giovanni Urga, 2018. "Testing for Co-jumps in Financial Markets," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 118-128.
    • Handle: RePEc:oup:jfinec:v:16:y:2018:i:1:p:118-128.
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbx028
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    References listed on IDEAS

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    More about this item

    Keywords

    co-features; Dow Jones Industrial Average 30 index; jumps and co-jumps; portfolio diversification;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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