This document has not been cited yet.

References contributed by 3945467_25463931242990

1. Aït-Sahalia, Y. and Jacod, J., Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data. J. Econ. Lit., 2012a, 50(4), 1007–1050.
   Paper not yet in RePEc: Add citation now
   
2. Aït-Sahalia, Y. and Jacod, J., Estimating the degree of activity of jumps in high frequency data. Ann. Statist., 2009a, 37(5A), 2202–2244. Aït-Sahalia, Y. and Jacod, J., Testing for jumps in a discretely observed process. Ann. Statist., 2009b, 37(1), 184–222.
   Paper not yet in RePEc: Add citation now
   
3. Aït-Sahalia, Y. and Jacod, J., Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Ann. Statist., 2012b, 40(3), 1430–1464.
   Paper not yet in RePEc: Add citation now
   
4. Aït-Sahalia, Y. and Jacod, J., Is Brownian motion necessary to model high-frequency data? Ann. Statist., 2010, 38(5), 3093–3128.
   Paper not yet in RePEc: Add citation now
   
5. Aït-Sahalia, Y. and Jacod, J., Testing whether jumps have finite or infinite activity. Ann. Statist., 2011, 39(3), 1689–1719.
   Paper not yet in RePEc: Add citation now
   
6. Aït-Sahalia, Y. and Kimmel, R., Maximum likelihood estimation of stochastic volatility models. J. Financ. Econ., 2007, 83(2), 413–452.
   Paper not yet in RePEc: Add citation now
   
7. Aït-Sahalia, Y. and Xiu, D., Increased correlation among asset classes: Are volatility or jumps to blame, or both?. J. Econom., 2016, 194(2), 205–219.
   Paper not yet in RePEc: Add citation now
   

8. Aït-Sahalia, Y., Cacho-Diaz, J. and Laeven, R.J., Modeling financial contagion using mutually exciting jump processes. J. Financ. Econ., 2015, 117(3), 585–606.

9. Akay, O.O., Senyuz, Z. and Yoldas, E., Hedge fund contagion and risk-adjusted returns: A Markov-switching dynamic factor approach. J. Empir. Finance, 2013, 22, 16–29.

10. Alexeev, V., Dungey, M. and Yao, W., Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. J. Empir. Finance, 2017, 40, 1–19.

11. Alexeev, V., Urga, G. and Yao, W., Asymmetric jump beta estimation with implications for portfolio risk management. Int. Rev. Econ. Finance, 2019, 62, 20–40.

12. Andersen, T.G. and Bollerslev, T., Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. Int. Econ. Rev. (Philadelphia), 1998, 39(4), 885–905.

13. Andersen, T.G., Bollerslev, T. and Diebold, F.X., Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. Rev. Econ. Stat., 2007, 89(4), 701–720.

14. Azzalini, A., A class of distributions which includes the normal ones. Scand. J. Statist., 1985, 12(2), 171–178.
    Paper not yet in RePEc: Add citation now
    

15. Bae, K.-H., Karolyi, G.A. and Stulz, R.M., A new approach to measuring financial contagion. Rev. Financ. Stud., 2003, 16(3), 717–763.

16. Baur, D. and Schulze, N., Coexceedances in financial markets–a quantile regression analysis of contagion. Emerg. Markets Rev., 2005, 6(1), 21–43.

17. Billio, M. and Caporin, M., Market linkages, variance spillovers, and correlation stability: Empirical evidence of financial contagion. Comput. Stat. Data. Anal., 2010, 54(11), 2443–2458.
    Paper not yet in RePEc: Add citation now
    
18. Bjursell, J., Wang, G.H.K. and Webb, R.I., Jumps and trading activity in interest rate futures markets: The response to macroeconomic announcements. Asia-Pac. J. Financ. Stud., 2013, 42(5), 689–723.
    Paper not yet in RePEc: Add citation now
    
19. Black, A., Chen, J., Gustap, O. and Williams, J.M., The importance of jumps in modelling volatility during the 2008 financial crisis. Technical Report, 2012. Available at SSRN 2118486.
    Paper not yet in RePEc: Add citation now
    
20. Bollerslev, T., Li, S.Z. and Todorov, V., Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. J. Financ. Econ., 2016, 120(3), 464–490.
    Paper not yet in RePEc: Add citation now
    
21. Bordo, M.D., An historical perspective on the crisis of 2007–2008, Working Paper 14569, National Bureau of Economic Research, 2008.
    Paper not yet in RePEc: Add citation now
    

22. Bormetti, G., Calcagnile, L.M., Treccani, M., Corsi, F., Marmi, S. and Lillo, F., Modelling systemic price cojumps with Hawkes factor models. Quant. Finance, 2015, 15(7), 1137–1156.

23. Boyson, N.M., Stahel, C.W. and Stulz, R.M., Hedge fund contagion and liquidity shocks. J. Finance, 2010, 65(5), 1789–1816.
    Paper not yet in RePEc: Add citation now
    

24. Busetti, F. and Harvey, A., When is a copula constant? a test for changing relationships. J. Financ. Econom., 2011, 9(1), 106–131.

25. Calcagnile, L.M., Bormetti, G., Treccani, M., Marmi, S. and Lillo, F., Collective synchronization and high frequency systemic instabilities in financial markets. Quant. Finance, 2018, 18(2), 237–247.

26. Caporin, M., Pelizzon, L., Ravazzolo, F. and Rigobon, R., Measuring sovereign contagion in Europe. J. Financ. Stab., 2018, 34, 150–181.
    Paper not yet in RePEc: Add citation now
    

27. Dungey, M. and Hvozdyk, L., Cojumping: Evidence from the US Treasury bond and futures markets. J. Bank. Financ., 2012, 36(5), 1563–1575.

28. Dungey, M., Erdemlioglu, D., Matei, M. and Yang, X., Testing for mutually exciting jumps and financial flights in high frequency data. J. Econom., 2018, 202(1), 18–44.

29. Dungey, M., Fakhrutdinova, L. and Goodhart, C., After-hours trading in equity futures markets. J. Fut. Markets, 2009a, 29(2), 114–136.
    Paper not yet in RePEc: Add citation now
    

30. Dungey, M., Fry, R., Gonzalez-Hermosillo, B. and Martin, V., Empirical modelling of contagion: A review of methodologies. Quant. Finance, 2005, 5(1), 9–24.

31. Dungey, M., Matei, M. and Treepongkaruna, S., Examining stress in Asian currencies: A perspective offered by high frequency financial market data. J. Int. Financ. Markets Inst. Money, 2020, 67, 101200.

32. Dungey, M., McKenzie, M. and Smith, L.V., Empirical evidence on jumps in the term structure of the US treasury market. J. Empir. Finance, 2009b, 16(3), 430–445.
    Paper not yet in RePEc: Add citation now
    
33. Dungey, M., Milunovich, G., Thorp, S. and Yang, M., Endogenous crisis dating and contagion using smooth transition structural garch. J. Bank. Financ., 2015, 58, 71–79.
    Paper not yet in RePEc: Add citation now
    
34. Fry, R., Martin, V.L. and Tang, C., A new class of tests of contagion with applications. J. Bus. Econ. Stat., 2010, 28(3), 423–437.
    Paper not yet in RePEc: Add citation now
    
35. Jiang, G.J., Lo, I. and Verdelhan, A., Information shocks, liquidity shocks, jumps, and price discovery: Evidence from the U.S. treasury market. J. Financ. Quant. Anal., 2011, 46(2), 527–551.
    Paper not yet in RePEc: Add citation now
    

36. Kaminsky, G.L., Reinhart, C.M. and Végh, C.A., The unholy trinity of financial contagion. J. Econ. Perspect., 2003, 17(4), 51–74.

37. Lahaye, J., Laurent, S. and Neely, C.J., Jumps, cojumps and macro announcements. J. Appl. Econom., 2011, 26(6), 893–921.

38. Mizrach, B. and Neely, C.J., The transition to electronic communications networks in the secondary treasury market. Review, 2006 Nov, 86(6), 527–542.
    Paper not yet in RePEc: Add citation now
    

39. Nelson, D.B., Arch models as diffusion approximations. J. Econom., 1990, 45(1), 7–38.

40. Pukthuanthong, K. and Roll, R., Internationally correlated jumps. Rev. Asset Pric. Stud., 2015, 5(1), 92–111.

41. Rodriguez, J.C., Measuring financial contagion: A copula approach. J. Empir. Finance, 2007, 14(3), 401–423.

42. Rose, A.K. and Spiegel, M.M., Cross-country causes and consequences of the 2008 crisis: Early warning. Jpn. World. Econ., 2012, 24(1), 1–16.
    Paper not yet in RePEc: Add citation now
    
43. Todorov, V. and Tauchen, G., Activity signature functions for high-frequency data analysis. J. Econom., 2010, 154(2), 125–138.
    Paper not yet in RePEc: Add citation now
    

44. Yao, W., Dungey, M. and Alexeev, V., Modelling financial contagion using high frequency data. Econ. Rec., 2020, 96(314), 314–330.

1. A fractional Hawkes process for illiquidity modeling. (2023). Dupret, Jean-Loup ; Hainaut, Donatien.
   In: LIDAM Discussion Papers ISBA.
   RePEc:aiz:louvad:2023001.

   Full description at Econpapers || Download paper

2. Bootstrap Inference for Hawkes and General Point Processes. (2021). Rahbek, Anders ; Lu, Ye ; Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob.
   In: Papers.
   RePEc:arx:papers:2104.03122.

   Full description at Econpapers || Download paper

3. CDS Pricing with Fractional Hawkes Processes. (2021). Ketelbuters, John John ; Hainaut, Donatien.
   In: LIDAM Discussion Papers ISBA.
   RePEc:aiz:louvad:2021018.

   Full description at Econpapers || Download paper

4. High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
   In: Papers.
   RePEc:arx:papers:1708.09520.

   Full description at Econpapers || Download paper

5. Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks. (2019). Chen, Ying ; Horst, Ulrich ; Tran, Hoang Hai.
   In: Papers.
   RePEc:arx:papers:1912.06426.

   Full description at Econpapers || Download paper

6. A New Set of Financial Instruments. (2019). Fabozzi, Frank ; Rachev, T.
   In: Papers.
   RePEc:arx:papers:1612.00828.

   Full description at Econpapers || Download paper

7. Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Maneesoonthorn, Worapree ; Martin, Gael M ; Frazier, David T.
   In: Monash Econometrics and Business Statistics Working Papers.
   RePEc:msh:ebswps:2018-2.

   Full description at Econpapers || Download paper

8. Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Matei, Marius ; Erdemlioglu, Deniz ; Dungey, Mardi.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

   Full description at Econpapers || Download paper

9. Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
   In: BIS Working Papers.
   RePEc:bis:biswps:702.

   Full description at Econpapers || Download paper

10. Systemic risk in a mean-field model of interbank lending with self-exciting shocks. (2018). Pascucci, Andrea ; la Rovere, Stefano ; Borovykh, Anastasia.
    In: Papers.
    RePEc:arx:papers:1710.00231.

    Full description at Econpapers || Download paper

11. Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime.
    In: Papers.
    RePEc:arx:papers:1707.06970.

    Full description at Econpapers || Download paper

12. Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann.
    In: Papers.
    RePEc:arx:papers:1603.05700.

    Full description at Econpapers || Download paper

13. A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK. (2017). Zhao, Hongbiao ; Dassios, Angelos.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500030.

    Full description at Econpapers || Download paper

14. Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7.

    Full description at Econpapers || Download paper

15. Contagion in cyber security attacks. (2017). Williams, Julian ; Gheyas, Iffat ; Pym, David ; Ioannidis, Christos ; Baldwin, Adrian .
    In: Journal of the Operational Research Society.
    RePEc:pal:jorsoc:v:68:y:2017:i:7:d:10.1057_jors.2016.37.

    Full description at Econpapers || Download paper

16. Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2017-14.

    Full description at Econpapers || Download paper

17. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:17006.

    Full description at Econpapers || Download paper

18. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01442618.

    Full description at Econpapers || Download paper

19. A generalised contagion process with an application to credit risk. (2017). Zhao, Hongbiao ; Dassios, Angelos.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:68558.

    Full description at Econpapers || Download paper

20. Joint tests of contagion with applications to financial crises. (2017). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2017-23.

    Full description at Econpapers || Download paper

21. From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2017). Henkel, Christof .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:469:y:2017:i:c:p:447-458.

    Full description at Econpapers || Download paper

22. News sentiment and jumps in energy spot and futures markets. (2017). Maslyuk-Escobedo, Svetlana ; Rotaru, Kristian ; Dokumentov, Alexander.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

    Full description at Econpapers || Download paper

23. An analysis of simultaneous company defaults using a shot noise process. (2017). Kevkhishvili, Rusudan ; Egami, M.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:80:y:2017:i:c:p:135-161.

    Full description at Econpapers || Download paper

24. Contagion modeling between the financial and insurance markets with time changed processes. (2017). Hainaut, Donatien.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:74:y:2017:i:c:p:63-77.

    Full description at Econpapers || Download paper

25. Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

    Full description at Econpapers || Download paper

26. Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

    Full description at Econpapers || Download paper

27. Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Matei, Marius ; Dungey, Mardi ; Veredas, David.
    In: The Economic Record.
    RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

    Full description at Econpapers || Download paper

28. Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. (2017). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Gamba-Santamaria, Santiago ; Hurtado-Guarin, Jorge Luis.
    In: Borradores de Economia.
    RePEc:bdr:borrec:983.

    Full description at Econpapers || Download paper

29. How has sovereign bond market liquidity changed? An illiquidity spillover analysis. (2016). Schneider, Michael ; Pelizzon, Loriana ; Lillo, Fabrizio.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:151.

    Full description at Econpapers || Download paper

30. Systemic risk: Time-lags and persistence. (2016). Kubitza, Christian ; Gründl, Helmut ; Grundl, Helmut.
    In: ICIR Working Paper Series.
    RePEc:zbw:icirwp:2016.

    Full description at Econpapers || Download paper

31. Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies. (2016). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
    In: ADBI Working Papers.
    RePEc:ris:adbiwp:0590.

    Full description at Econpapers || Download paper

32. International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Watewai, Thaisiri ; Solnik, Bruno.
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:31..

    Full description at Econpapers || Download paper

33. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2016-8.

    Full description at Econpapers || Download paper

34. Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01275397.

    Full description at Econpapers || Download paper

35. Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, Jiří ; Ficura, Milan.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301.

    Full description at Econpapers || Download paper

36. Contagion effects in selected European capital markets during the financial crisis of 2007–2009. (2016). Burzala, Milda.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:37:y:2016:i:c:p:556-571.

    Full description at Econpapers || Download paper

37. Hawkes-diffusion process and the conditional probability of defaults in the Eurozone. (2016). Park, Yuen Jung ; Kim, Jungmu ; Ryu, Doojin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:449:y:2016:i:c:p:301-310.

    Full description at Econpapers || Download paper

38. Impact of volatility clustering on equity indexed annuities. (2016). Hainaut, Donatien.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:71:y:2016:i:c:p:367-381.

    Full description at Econpapers || Download paper

39. The 2011 European short sale ban: A cure or a curse?. (2016). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:25:y:2016:i:c:p:115-131.

    Full description at Econpapers || Download paper

40. On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213.

    Full description at Econpapers || Download paper

41. Estimating jump–diffusions using closed-form likelihood expansions. (2016). Chen, Dachuan ; Li, Chenxu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:51-70.

    Full description at Econpapers || Download paper

42. A bivariate Hawkes process for interest rate modeling. (2016). Hainaut, Donatien.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:180-196.

    Full description at Econpapers || Download paper

43. The Moderating Role of Loan Monitoring on the Relationship between Macroeconomic Variables and Non-performing Loans in Association of Southeast Asian Nations Countries. (2016). Nayan, Sabri ; Idris, Ismail Tijjani.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2016-02-5.

    Full description at Econpapers || Download paper

44. From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2016). Henkel, Christof .
    In: Papers.
    RePEc:arx:papers:1609.05286.

    Full description at Econpapers || Download paper

45. The microstructural foundations of leverage effect and rough volatility. (2016). Mathieu, Rosenbaum ; Masaaki, Fukasawa ; Euch, EL.
    In: Papers.
    RePEc:arx:papers:1609.05177.

    Full description at Econpapers || Download paper

46. Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua.
    In: Papers.
    RePEc:arx:papers:1602.05541.

    Full description at Econpapers || Download paper

47. Multivariate dynamic intensity peaks-over-threshold models. (2015). Herrera, Rodrigo ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:516.

    Full description at Econpapers || Download paper

48. Exploiting Spillovers to forecast Crashes. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150118.

    Full description at Econpapers || Download paper

49. Cojumps in Chinas spot and stock index futures markets. (2015). Yue, Mengqi ; Zhao, Hua ; Wang, Hao.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:35:y:2015:i:pb:p:541-557.

    Full description at Econpapers || Download paper

50. Correlations between oil and stock markets: A wavelet-based approach. (2015). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:50:y:2015:i:c:p:212-227.

    Full description at Econpapers || Download paper

Report date: 2025-09-20 23:58:28 || Missing content? Let us know