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Systemic Risk And Cojumps In High Frequency Data

Author

Listed:
  • LUPU, Radu

    (Faculty of Economics and International Affairs, The Bucharest University of Economic Studies, Bucharest, Romania)

  • MATEESCU, Alexandra

    (School of Advanced Studies of the Romanian Academy, Bucharest, Romania)

Abstract

Univariate jump detection procedures have been widely studied in the field of statistics of high frequency data, whereas the extension of jump detection to a multivariate framework, in order to understand the correlation between asset returns, is more recent. Cojumps refer to the joint occurence of extreme price movements. The identification of cojumps is extremely important for investors who usually own portfolio of assets. Decisions regarding portofolio allocation, risk management, hedging and pricing can be based on this analysis. The objective of this paper is to investigate the existence of cojumps in European financial market, employing data on the shares of 12stock market indexes. The situations with identified cojumps will be used to identify simultaneous reactions of these markets in order to develop a measure of the systemic risk.

Suggested Citation

  • LUPU, Radu & MATEESCU, Alexandra, 2016. "Systemic Risk And Cojumps In High Frequency Data," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(4), pages 6-16.
  • Handle: RePEc:vls:finstu:v:20:y:2016:i:4:p:6-16
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    jumps; cojumps; simultaneity indicator; high frequency data;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

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