Co-jumps
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This chapter considers some questions which only make sense in a multivariate setting. It deals with two problems: one is about a multidimensional underlying process X, and we want to decide whether two particular components of X jump at the same time: this can happen always, or never, or for some but not all jump times. The second problem is again about a one-dimensional underlying process X, but we study the pair (X, σ), with the second component being the volatility of the first component X. Again, we want to decide whether X and σ jump at the same times, always, or never, or sometimes. The process X is observed at the regularly spaced observation times iΔ₀, within a finite time interval [0, T].
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2004 ◽
Vol 41
(2)
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pp. 570-578
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2011 ◽
Vol 34
(7)
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pp. 841-849
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