Auflistung LIF-SAFE Working Papers nach Autor "Kolokolov, Alexey"
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Systemic Co-Jumps
Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto (2016-10-10)The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ...