Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets

China's energy stock market jumps: To what extent does the COVID-19 pandemic play a part?

“…Jumping behavior is always accompanied by a black swan event, and in the context of COVID-19, jumping risk is well worth being considered. Given that a price variation process with jump term is hardly estimated by traditional volatility model, such as GARCH and so on, jumps not only can affect the depiction of the panoramic picture of the variation characteristics ( Zhang et al, 2018 ; Zhou et al, 2020 ; Semeyutin et al, 2021 ; Janda and Kourilek, 2020 ), but also cause the pricing and risk management work to become invalid ( Dutta et al, 2021 ; Guo and Lin, 2020 ), bringing incalculable losses to large number of China's energy market investors worldwide. This study will directly reveal how COVID-19 triggers the jumps component in the price movement pattern of China's energy stocks.…”

COVID-19 and China commodity price jump behavior: An information spillover and wavelet coherency analysis

“… Zhang et al (2022) finds that oil price jumps have negative shocks on China's industrial sector returns and positive spillovers on its volatility. Evidence from Alqahtani et al (2021) , Bouri et al (2021) , Liu et al (2021) , and Semeyutin et al (2021) shows that jumps in commodity prices may also happen, and even the characteristics of price jumps among different commodities may be contagious. Jump risk has become a factor in commodity price risk management that cannot be ignored.…”

Evaluation of bitcoin options with interest rate risk and systemic risk

“…The huge fluctuation of macroeconomic factors causes systemic jump risk. Systemic jump risk refers to the risk that affects the overall financial market or specific industries, typically associated with macroeconomic factors or global events such as the COVID-19 pandemic [1] impacting the majority of assets in the market [2] including Bitcoin. Typical systemic risks include financial crises, political instability, natural disasters, currency devaluation, and macroeconomic recessions.…”