Listagem Eventos / RP por autor "Distaso, Walter"

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    • 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 ...

    • 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 ...