correlation of jump events

[elektor]

Hi,
How would you capture the correlation between jump events in between two time series?

 

[Daniel Duffy]

Thinking out loud ... would this be some kind of co-integration?

BTW what kinds of models, stationary, non-stationary?

 

[Polter]

You can start from considering the (variety of the) GARCH-Jump models, e.g., DRS (2006):
http://ssrn.com/abstract=910639