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    • International market links and volatility transmission 

      Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo (Elsevier Science Sa, 2012-09)
      This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we ...
    • Testing for jump spillovers without testing for jumps 

      Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo (2017)
      This paper develops statistical tools for testing conditional independence among the jump components of the daily quadratic variation, which we estimate using intraday data. To avoid sequential bias distortion, we do not ...