Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession (Q5139429)
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scientific article; zbMATH DE number 7283241
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession |
scientific article; zbMATH DE number 7283241 |
Statements
Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession (English)
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9 December 2020
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high-frequency jumps
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jump spillover
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jump risks
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excess returns
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ETFs
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Great Recession
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high-frequency data
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bipower variation tests
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swap variance based tests
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jump decompositions
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0.82509863
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0.79858285
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0.78778267
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0.7820436
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0.77338994
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