English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

We study the bivariate jump process involving the S&amp;P 500 and the Euro Stoxx 50, with jumps extracted from high-frequency data. In our analysis, based on Hawkes processes, we find no evidence of contagion across different markets. Nevertheless, we observe significant jump clustering effects though they are limited to intraday time scales. Moreover, we notice that the relative contribution of jumps to the total price variance is larger during tranquil market conditions rather than in periods of stress, providing empirical evidence of this result during the subprime mortgage crisis and the European sovereign debt crisis. Importantly, our results are robust under different jump detection methods.

The dynamics of price jumps in the stock market: an empirical study on Europe and U.S.