Jumps, cojumps and macro announcements
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Other versions of this item:
- LAHAYE, Jérôme & LAURENT, Sébastien & NEELY, Christopher J., 2011. "Jumps, cojumps and macro announcements," CORE Discussion Papers RP 2413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2007. "Jumps, cojumps and macro announcements," Working Papers 2007-032, Federal Reserve Bank of St. Louis.
References listed on IDEAS
- Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
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