出版社：“Victor Slăvescu‿Centre for Financial and Monetary Research
摘要：Univariate jump detection procedures have been widely
studied in the field of statistics of high frequency data, whereas the
extension of jump detection to a multivariate framework, in order to
understand the correlation between asset returns, is more recent.
Cojumps refer to the joint occurence of extreme price movements.
The identification of cojumps is extremely important for investors who
usually own portfolio of assets. Decisions regarding portofolio
allocation, risk management, hedging and pricing can be based on
this analysis. The objective of this paper is to investigate the
existence of cojumps in European financial market, employing data
on the shares of 12stock market indexes. The situations with
identified cojumps will be used to identify simultaneous reactions of
these markets in order to develop a measure of the systemic risk.
