Matches in SemOpenAlex for { <https://semopenalex.org/work/W1937860668> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W1937860668 abstract "This article relies on the comparison of the realized variance and the realized bipower variation to provide a nonparametric extraction of jumps in Nasdaq sector indexes. It proceeds with their empirical analysis along two directions: intensity and size. Whereas the jump intensity appears to be sector-specific, the average jump contribution to the total variance is approximately constant across sectors. Moreover, unlike volatility, jumps do not cluster through time. A multivariate analysis reveals that jump arrivals are significantly linked even though the contemporaneous occurrence of discontinuities does not increase the average jump size. Finally, despite their interdependence, jumps do not seem to be very contagious and few spillover effects can be observed." @default.
- W1937860668 created "2016-06-24" @default.
- W1937860668 creator A5013541035 @default.
- W1937860668 creator A5038275563 @default.
- W1937860668 date "2011-01-01" @default.
- W1937860668 modified "2023-09-25" @default.
- W1937860668 title "Are Jumps Contagious? An Empirical Investigation of Jumps Transmission Mechanisms in the Nasdaq Sector Indexes" @default.
- W1937860668 cites W1545370368 @default.
- W1937860668 cites W1965369319 @default.
- W1937860668 cites W1971301185 @default.
- W1937860668 cites W1973694910 @default.
- W1937860668 cites W1977970167 @default.
- W1937860668 cites W2006754825 @default.
- W1937860668 cites W2038820328 @default.
- W1937860668 cites W2051235503 @default.
- W1937860668 cites W2117306570 @default.
- W1937860668 cites W2136215272 @default.
- W1937860668 cites W2151065060 @default.
- W1937860668 cites W2155804346 @default.
- W1937860668 cites W2157403008 @default.
- W1937860668 cites W2234501989 @default.
- W1937860668 cites W3121364726 @default.
- W1937860668 cites W3123647737 @default.
- W1937860668 cites W3123740724 @default.
- W1937860668 cites W3124585920 @default.
- W1937860668 cites W3125412410 @default.
- W1937860668 cites W3125987794 @default.
- W1937860668 cites W4238262513 @default.
- W1937860668 doi "https://doi.org/10.3917/fina.321.0011" @default.
- W1937860668 hasPublicationYear "2011" @default.
- W1937860668 type Work @default.
- W1937860668 sameAs 1937860668 @default.
- W1937860668 citedByCount "1" @default.
- W1937860668 countsByYear W19378606682020 @default.
- W1937860668 crossrefType "journal-article" @default.
- W1937860668 hasAuthorship W1937860668A5013541035 @default.
- W1937860668 hasAuthorship W1937860668A5038275563 @default.
- W1937860668 hasConcept C102366305 @default.
- W1937860668 hasConcept C105795698 @default.
- W1937860668 hasConcept C121332964 @default.
- W1937860668 hasConcept C121955636 @default.
- W1937860668 hasConcept C134306372 @default.
- W1937860668 hasConcept C149782125 @default.
- W1937860668 hasConcept C15627037 @default.
- W1937860668 hasConcept C162324750 @default.
- W1937860668 hasConcept C175444787 @default.
- W1937860668 hasConcept C196083921 @default.
- W1937860668 hasConcept C2780695682 @default.
- W1937860668 hasConcept C33923547 @default.
- W1937860668 hasConcept C55527203 @default.
- W1937860668 hasConcept C62520636 @default.
- W1937860668 hasConcept C91602232 @default.
- W1937860668 hasConceptScore W1937860668C102366305 @default.
- W1937860668 hasConceptScore W1937860668C105795698 @default.
- W1937860668 hasConceptScore W1937860668C121332964 @default.
- W1937860668 hasConceptScore W1937860668C121955636 @default.
- W1937860668 hasConceptScore W1937860668C134306372 @default.
- W1937860668 hasConceptScore W1937860668C149782125 @default.
- W1937860668 hasConceptScore W1937860668C15627037 @default.
- W1937860668 hasConceptScore W1937860668C162324750 @default.
- W1937860668 hasConceptScore W1937860668C175444787 @default.
- W1937860668 hasConceptScore W1937860668C196083921 @default.
- W1937860668 hasConceptScore W1937860668C2780695682 @default.
- W1937860668 hasConceptScore W1937860668C33923547 @default.
- W1937860668 hasConceptScore W1937860668C55527203 @default.
- W1937860668 hasConceptScore W1937860668C62520636 @default.
- W1937860668 hasConceptScore W1937860668C91602232 @default.
- W1937860668 hasLocation W19378606681 @default.
- W1937860668 hasOpenAccess W1937860668 @default.
- W1937860668 hasPrimaryLocation W19378606681 @default.
- W1937860668 hasRelatedWork W2121732987 @default.
- W1937860668 hasRelatedWork W2147181268 @default.
- W1937860668 hasRelatedWork W2975963231 @default.
- W1937860668 hasRelatedWork W3027969370 @default.
- W1937860668 hasRelatedWork W3121250558 @default.
- W1937860668 hasRelatedWork W3123716629 @default.
- W1937860668 hasRelatedWork W3124198761 @default.
- W1937860668 hasRelatedWork W3124556323 @default.
- W1937860668 hasRelatedWork W3125128950 @default.
- W1937860668 hasRelatedWork W3125621667 @default.
- W1937860668 hasRelatedWork W3125804926 @default.
- W1937860668 hasRelatedWork W3126064560 @default.
- W1937860668 hasRelatedWork W86694619 @default.
- W1937860668 hasRelatedWork W2182713955 @default.
- W1937860668 isParatext "false" @default.
- W1937860668 isRetracted "false" @default.
- W1937860668 magId "1937860668" @default.
- W1937860668 workType "article" @default.