Browsing by Keyword "Quadratic variation"

Now showing items 1-3 of 3

    • International market links and volatility transmission 

      Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo
      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 ...

    • Testing for jump spillovers without testing for jumps 

      Corradi, Valentina; Distaso, Walter; Fernandes, Marcelo
      2017-09-30
      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 ...