Financial Econometrics and Empirical Market Microstructure
Market Shocks: Review of Studies
Mariya Frolova
Abstract This paper gives a brief description of the current state of research on market shocks, presents its main results and denotes problems researchers are faced with. We consider such aspects of shocks analysis as price formation mechanism, origins of market jumps, price-volume relationship, cojumps, empirical description of financial markets around shocks, shocks identification.
Keywords Cojumps • Market shocks • Price formation mechanism • Shocks identification
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