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Journal of Financial Econometrics Advance Access originally published online on March 27, 2006
Journal of Financial Econometrics 2006 4(2):346-351; doi:10.1093/jjfinec/nbj010
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© The Author 2006. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org.

Practitioners’ Corner

Adam Canopius
a.canopius@cirano.qc.ca

The first 150 words of the full text of this article appear below.

In our discussion in the last issue of Journal of Financial Econometrics (JFEC) of the nonparametric methods developed by Barndorff-Nielsen and Shephard (2006)Go to detect jumps in the local behavior of the continuous time path of a price process, we observed these tests were not designed to detect major price discontinuity events such as the 1987 crash, since the testing methodology precludes jumps in adjacent time intervals. Indeed, a major event such as Black Monday is characterized by a sequence of jumps in consecutive time intervals throughout the day. In the interest of thematic continuity, let’s pursue the matter of jumps further.

The first article in the current issue by Hossein Asgharian and Chistoffer Bengtsson addresses directly the detection of big events in stock prices. More particularly, the authors analyze the spillover of jumps across international stock markets. To measure jumps, the authors formulate a parametric model in . . . [Full Text of this Article]


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