Jumps, cojumps and macro announcements

Journal of Applied Econometrics - Tập 26 Số 6 - Trang 893-921 - 2011
Jérôme Lahaye1,2, Sébastien Laurent3,1,4, Christopher J. Neely5
1CeReFiM, University of Namur, Belgium
2Faculty of Business and Economics, University of Lausanne, Switzerland
3CORE, Université Catholique de Louvain, Belgium
4Maastricht University School of Business and Economics, The Netherlands
5Research Department, Federal Reserve Bank of St Louis, MO, USA

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