Jumps and Information Flow in Financial Markets

174 citations recorded by the source corpus.

How researchers see this paper

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

Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns (2014, unknown): “Andersen, Bollerslev, and Diebold (2007a), Lee (2012), Lahaye, Laurent, and Neely (2011), in particular, have all sought to relate jumps in high- frequency asset prices, with the significant jumps identified through similar techniques to the ones used here, to regularly scheduled macroeconomic news…”
Systemic Co-Jumps (2017, background): “The systemic component can be associated with news, as shown in the empirical work of Lee (2012), Evans (2011), and Gilder et al. (2014).”