Systemic Co-Jumps

By Massimiliano Caporin, A. Kolokolov, Roberto Renò. 2017

70 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4505483f860f40b1748f364827a6b452c494e9c2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Claudio Pacati
2. Gabriele Pompa
3. Roberto Renò

In Finance

1. Claudio Pacati
2. Gabriele Pompa
3. Roberto Renò

Citations in the corpus

• Smiling twice: The Heston++ model (2018, methodology): “The model (21) is a modification of the model used in Caporin et al. (2017) to include the lagged VIX as a regressor, as suggested by Bekaert and Hoerova (2014) (and indeed highly significant in our sample).”