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21-086/III - Jump Contagion among Stock Market Indices: Evidence from Option Markets


  • Authors
    H. Peter Boswijk, University of Amsterdam; Roger J.A. Laeven, University of Amsterdam; Andrei Lalu, University of Amsterdam; Evgenii Vladimirov, University of Amsterdam
  • Publication date
    September 23, 2021
  • Keywords
    Jumps, Option markets, Crisis, Transmission, Spatio-temporal models, C-GMM
  • JEL
    C58, G01, G15