appendix-lln.pdf
Creators:
Jerome Lahaye
;
Sébastien Laurent
;
Christopher J. Neely
From the dataset abstract
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these...
Source: Jumps, cojumps and macro announcements (replication data)
Metadata
| Field | Value |
|---|---|
| Format | application/pdf |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/588a0d5c-1da7-40dc-a4a0-73cc8aab68dc/resource/ce5a401e-50b1-4da8-ac9a-8f67a48dd583/download/appendix-lln.pdf |
| Last updated | November 16, 2022 |
| Created | November 16, 2022 |
