Corpus ID: 158487968

Systemic Risk And Cojumps In High Frequency Data

@inproceedings{Lupu2016SystemicRA,
  title={Systemic Risk And Cojumps In High Frequency Data},
  author={R. Lupu and Alexandra Mateescu},
  year={2016}
}
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… Expand