Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach
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- Frédéric Délèze & Syed Mujahid Hussain, 2014. "Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data," Multinational Finance Journal, Multinational Finance Journal, vol. 18(3-4), pages 169-213, September.
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More about this item
Keywords
Volatility; realized volatility; high-frequency; comovements; cojumps;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2009-05-23 (Econometric Time Series)
- NEP-FMK-2009-05-23 (Financial Markets)
- NEP-MST-2009-05-23 (Market Microstructure)
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