appendix-lln.pdf
Creators:
Jerome Lahaye
;
Sébastien Laurent
;
Christopher J. Neely
From the dataset abstract
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 of these...
Source: Jumps, cojumps and macro announcements (replication data)
Metadata
| Field | Value |
|---|---|
| Format | application/pdf |
| License | CC-BY 4.0 |
| URL | https://jda-test.zbw.eu/dataset/296d68c9-0036-49e8-9b60-0a9c9a31e181/resource/76972f50-4553-4ac1-8b95-5a75c1bdbea9/download/appendix-lln.pdf |
| Last updated | November 4, 2022 |
| Created | November 4, 2022 |
