Effect of jumps on causation patterns: an international investigation
In this paper, we discuss the effects of jumps in data on causation pattern both in mean and variance. Our data consist of daily stock returns of four countries: the US, the UK, Japan and Sweden and used for empirical investigation. A test proposed by Cheung and Ng (1996) and Hong (2001) is used for testing volatility spillover. We find significant evidence of jump spillover. It is shown that the