Datasets Activity Stream About 1 dataset found Newest Oldest Relevance Name Ascending Name Descending Last Modified Go Publication Year: 2011 None: 6 Formats: PDF 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 TXT PDF
