Concepedia

Co-jump Detection

Co-Jump Detection is a statistical method in financial econometrics that identifies simultaneous discontinuous price movements across multiple assets within high-frequency financial data, distinguishing itself from univariate jump detection by explicitly modeling cross-asset dependency structures to capture contemporaneous jumps induced by common market shocks.

23

Publications

1.6K

Citations

62

Authors

51

Institutions

Publications per year

2017–2026

10

Parents

Publications

23

Jumps, cojumps and macro announcements

Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely · Journal of Applied Econometrics · 2010 · 298 citations

, , +17

Risk, jumps, and diversification

Tim Bollerslev, Tzuo Hann Law, George Tauchen · Journal of Econometrics · 2008 · 285 citations · Full text

, , +14

High frequency volatility co-movements in cryptocurrency markets

Paraskevi Katsiampa, Shaen Corbet, Brian M. Lucey · Journal of International Financial Markets Institutions and Money · 2019 · 273 citations · Full text

, , +14

Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis

Ginanjar Dewandaru, Syed Aun R. Rizvi, Rumi Masih et al. · Economic Systems · 2014 · 177 citations

, , +14

The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets

Jan Dhaene, Daniël Linders, Wim Schoutens et al. · Insurance Mathematics and Economics · 2012 · 74 citations · Full text

, , +13

1–5 of 23

Authors

62

  1. JL
    Jérôme Lahaye

    Federal Reserve Bank of St. Louis, United States

    2 publications · 325 citations

    2

    h-index

  2. MB
    Markus Bibinger

    Humboldt-Universität zu Berlin, Germany

    2 publications · 86 citations

    2

    h-index

  3. LW
    Lars Winkelmann

    Freie Universität Berlin, Germany

    2 publications · 86 citations

    2

    h-index

  4. CJ
    Christopher J. Neely

    Federal Reserve Bank of St. Louis, United States

    2 publications · 325 citations

    2

    h-index

  5. SL
    Sébastien Laurent

    UCLouvain, Belgium

    2 publications · 325 citations

    2

    h-index

1–5 of 62

Institutions

51

  1. Lebanese American University

    Beirut, Lebanon

    2 h-index

    2 publications

    75 citations

  2. Humboldt-Universität zu Berlin

    Berlin, Germany

    2 h-index

    3 publications

    107 citations

  3. Nanjing University of Aeronautics and Astronautics

    Nanjing, China

    2 h-index

    4 publications

    84 citations

  4. Federal Reserve Bank of St. Louis

    St Louis, United States

    2 h-index

    2 publications

    325 citations

  5. Freie Universität Berlin

    Berlin, Germany

    2 h-index

    3 publications

    107 citations

  6. UCLouvain

    Louvain-la-Neuve, Belgium

    2 h-index

    2 publications

    325 citations

  7. University of Namur

    Namur, Belgium

    2 h-index

    3 publications

    623 citations

  8. IPAG Business School

    Paris, France

    1 h-index

    1 publications

    32 citations

1–8 of 51

Venues

  1. Journal of Econometrics

    2 publications · 350 citations

    2

    h-index

  2. 2

    h-index

  3. Finance research letters

    2 publications · 75 citations

    2

    h-index

  4. SSRN Electronic Journal

    Repository · 1 publications · 27 citations

    1

    h-index

  5. Journal of Applied Econometrics

    1 publications · 298 citations

    1

    h-index

1–5