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Jerome Lahaye
;
Sébastien Laurent
;
Christopher J. Neely
Jumps, cojumps and macro announcements (replication data)
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...
DOI:10.15456/jae.2022320.0722645102
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