文章基本信息

标题：SYSTEMIC RISK AND COJUMPS IN HIGH FREQUENCY DATA
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作者：Radu LUPU ; Alexandra MATEESCU
期刊名称：Financial Studies
印刷版ISSN：2066-6071
出版年度：2016
卷号：20
期号：4
页码：6-16
出版社：“Victor Slăvescu‿Centre for Financial and Monetary Research
摘要：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.
关键词：jumps; cojumps; simultaneity indicator; high