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Effect of jumps on causation patterns: an international investigation
Department of Statistics, Lund University, Lund, Sweden. (Statistik)ORCID iD: 0000-0002-1488-4703
2013 (English)In: International Journal of Computational Economics and Econometrics, ISSN 1757-1170, E-ISSN 1757-1189, Vol. 3, no 3/4, 187-204 p.Article in journal (Refereed) Published
Abstract [en]

In this paper, we empirically investigate and discuss the effects of jumps in data on causation pattern both in mean and variance. Our data consist of daily stock returns of four countries: France, Sweden, the UK and Finland. A test proposed by Cheung and Ng (1996) and Hong (2001) is applied for testing volatility spillover. We find significant evidence of jump spillover. It is shown that the presence of jump affects the transmission of information between two sets of series. Moreover, it is found that the choice of an appropriate model is essential for understanding the real pattern of transmission.

Place, publisher, year, edition, pages
InderScience Publishers, 2013. Vol. 3, no 3/4, 187-204 p.
Keyword [en]
causality, GARCH model, jumps, volatility spillover, jump spillover, causation patterns, financial crisis, information transmission
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-57941DOI: 10.1504/IJCEE.2013.058497OAI: oai:DiVA.org:oru-57941DiVA: diva2:1106433
Available from: 2017-06-07 Created: 2017-06-07 Last updated: 2017-10-18Bibliographically approved

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Javed, Farrukh
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