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