{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T07:50:37Z","timestamp":1740124237040,"version":"3.37.3"},"reference-count":21,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2022,3,29]],"date-time":"2022-03-29T00:00:00Z","timestamp":1648512000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2022,3,29]],"date-time":"2022-03-29T00:00:00Z","timestamp":1648512000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"funder":[{"name":"Science and Technology Project of Chongqing Education Commission","award":["KJQN202001221"],"award-info":[{"award-number":["KJQN202001221"]}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71873023"],"award-info":[{"award-number":["71873023"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Electron Commer Res"],"published-print":{"date-parts":[[2023,3]]},"DOI":"10.1007\/s10660-022-09545-9","type":"journal-article","created":{"date-parts":[[2022,3,30]],"date-time":"2022-03-30T00:06:09Z","timestamp":1648598769000},"page":"115-135","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Research on cojumps of electronic commerce overnight factors in volatility prediction based on joint BW test"],"prefix":"10.1007","volume":"23","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-0923-9005","authenticated-orcid":false,"given":"Liling","family":"Deng","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Haifang","family":"Xiong","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Zhiqiang","family":"Wang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2022,3,29]]},"reference":[{"key":"9545_CR1","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1093\/jjfinec\/nbh001","volume":"2","author":"O Barndorff-Nielsen","year":"2004","unstructured":"Barndorff-Nielsen, O., & Shephard, N. (2004). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2, 1\u201337.","journal-title":"Journal of Financial Econometrics"},{"key":"9545_CR2","doi-asserted-by":"publisher","first-page":"443","DOI":"10.1016\/j.jbankfin.2013.04.025","volume":"40","author":"D Gilder","year":"2013","unstructured":"Gilder, D., Shackleton, M. B., & Taylor, S. J. (2013). Cojumps in stocks prices: Empirical evidence. Journal of Banking & Finance, 40, 443\u2013459.","journal-title":"Journal of Banking & Finance"},{"key":"9545_CR3","doi-asserted-by":"publisher","first-page":"541","DOI":"10.1016\/j.pacfin.2015.10.002","volume":"35","author":"H Wang","year":"2015","unstructured":"Wang, H., Yue, M., & Zhao, H. (2015). Cojumps in China\u2019s spot and stock index futures markets. Pacific-Basin Finance Journal, 35, 541\u2013557.","journal-title":"Pacific-Basin Finance Journal"},{"issue":"08","key":"9545_CR4","first-page":"46","volume":"23","author":"Y Tang","year":"2015","unstructured":"Tang, Y., & Lin, X. (2015). Consider the fluctuation modeling of common jumps: Based on the high-frequency data perspective. China Management Science, 23(08), 46\u201353.","journal-title":"China Management Science"},{"issue":"6","key":"9545_CR5","first-page":"28","volume":"29","author":"H Qu","year":"2016","unstructured":"Qu, H., & Ji, P. (2016). Covariance prediction-based on the multivariate HAR model. Management Science, 29(6), 28\u201338.","journal-title":"Management Science"},{"issue":"06","key":"9545_CR6","first-page":"783","volume":"31","author":"F Ma","year":"2016","unstructured":"Ma, F., Wei, Y., & Huang, D. (2016). Can overnight returns improve the predictive capabilities of high-frequency volatility models. Systems Engineering Journal, 31(06), 783\u2013797.","journal-title":"Systems Engineering Journal"},{"key":"9545_CR7","first-page":"59","volume":"02","author":"Y Song","year":"2017","unstructured":"Song, Y., & Wang, X. (2017). Does overnight information affect the volatility model capability. Financial Issues Studies, 02, 59\u201365.","journal-title":"Financial Issues Studies"},{"issue":"1","key":"9545_CR8","doi-asserted-by":"publisher","first-page":"234","DOI":"10.1016\/j.jeconom.2008.01.006","volume":"144","author":"T Bollerslev","year":"2008","unstructured":"Bollerslev, T., Law, T. H., & Tauchen, G. (2008). Risk, jumps, and diversification. Journal of Econometrics, 144(1), 234\u2013256.","journal-title":"Journal of Econometrics"},{"issue":"6","key":"9545_CR9","doi-asserted-by":"publisher","first-page":"893","DOI":"10.1002\/jae.1149","volume":"26","author":"J Lahaye","year":"2011","unstructured":"Lahaye, J., Laurent, S., & Neely, C. J. (2011). Jumps, cojumps and macro announcements. Journal of Applied Econometrics, 26(6), 893\u2013921.","journal-title":"Journal of Applied Econometrics"},{"issue":"2","key":"9545_CR10","doi-asserted-by":"publisher","first-page":"233","DOI":"10.1002\/jae.1105","volume":"25","author":"TG Andersen","year":"2010","unstructured":"Andersen, T. G., Bollerslev, T., Frederiksen, P., et al. (2010). Continuous-time models, realized volatiliti-es, and identificationable distributional implications for intraday stock returns. Journal of Applied Econometrics, 25(2), 233\u2013261.","journal-title":"Journal of Applied Econometrics"},{"issue":"2","key":"9545_CR11","doi-asserted-by":"publisher","first-page":"307","DOI":"10.1016\/j.jeconom.2012.08.014","volume":"172","author":"T Bollerslev","year":"2013","unstructured":"Bollerslev, T., Todorov, V., & Sophia, Z. L. (2013). Jump tails, extreme dependencies, and the distribution of stock returns. Journal of Econometrica, 172(2), 307\u2013324.","journal-title":"Journal of Econometrica"},{"key":"9545_CR12","doi-asserted-by":"publisher","first-page":"43","DOI":"10.1016\/S0304-405X(01)00055-1","volume":"61","author":"TG Andersen","year":"2001","unstructured":"Andersen, T. G., Bollerslev, T. M., & Diebold, F. X. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61, 43\u201376.","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"9545_CR13","doi-asserted-by":"publisher","first-page":"579","DOI":"10.1111\/1468-0262.00418","volume":"71","author":"TG Andersen","year":"2003","unstructured":"Andersen, T. G., Bollerslev, T. M., & Diebold, F. X. (2003). Modelling and forecasting realized volatility. Econometrica, 71(2), 579\u2013625.","journal-title":"Econometrica"},{"key":"9545_CR14","first-page":"42","volume":"06","author":"M Guo","year":"2006","unstructured":"Guo, M., & Zhang, S. (2006). VaR computation based on \u201cimplemented\u201d volatility and its persistence study. Journal of Northwest A & Forestry University (Social Sciences), 06, 42\u201345.","journal-title":"Journal of Northwest A & Forestry University (Social Sciences)"},{"issue":"02","key":"9545_CR15","first-page":"44","volume":"9","author":"L Li","year":"2009","unstructured":"Li, L., & Guo, M. (2009). Comparative study of volatility and empowerment achieved. Journal of Northwest A & Forestry University (Social Sciences), 9(02), 44\u201347.","journal-title":"Journal of Northwest A & Forestry University (Social Sciences)"},{"issue":"4","key":"9545_CR16","first-page":"525","volume":"3","author":"PR Hansen","year":"2005","unstructured":"Hansen, P. R., & Lunde, A. (2005). A realized variance for the whole day based on intermittent high-frequency data. Social Science Electronic Publishing, 3(4), 525\u2013554.","journal-title":"Social Science Electronic Publishing"},{"key":"9545_CR17","doi-asserted-by":"crossref","unstructured":"Bajgrowicz, P., Scaillet, O., & Treccani, A. (2015). Jumps in high-frequency data: Spurious detections, dynamics, and news. Management Science.","DOI":"10.1287\/mnsc.2015.2234"},{"key":"9545_CR18","doi-asserted-by":"crossref","unstructured":"de Pooter, M., Martens, M., & van Dijk, D. (2008). Predicting the intraday covariance matrix for S&P 100 stocks using intraday data\u2014but which frequency to use? Econometric Reviews, 27(1\u20133).","DOI":"10.1080\/07474930701873333"},{"key":"9545_CR19","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1093\/jjfinec\/nbi022","volume":"4","author":"O Barndorff-Nielsen","year":"2006","unstructured":"Barndorff-Nielsen, O., & Shephard, N. (2006). Economics of Identificationing for jumps in financial economics using bipower variation. Journal of Financial Econometrics, 4, 1\u201330.","journal-title":"Journal of Financial Econometrics"},{"key":"9545_CR20","doi-asserted-by":"crossref","unstructured":"A\u00eft-Sahalia, Y., & Xiu, D. (2016). Increased correlation among asset classes: Are volatility or jumps to blame, or both? Journal of Econometrics, S0304407616300902.","DOI":"10.1016\/j.jeconom.2016.05.002"},{"key":"9545_CR21","doi-asserted-by":"crossref","unstructured":"Hawkes, A. G. (2020). Hawkes jump-diffusions and finance: a brief history and review. The European Journal of Finance, 1\u201315.","DOI":"10.1080\/1351847X.2020.1755712"}],"container-title":["Electronic Commerce Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10660-022-09545-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10660-022-09545-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10660-022-09545-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,3,25]],"date-time":"2023-03-25T09:23:07Z","timestamp":1679736187000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10660-022-09545-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,3,29]]},"references-count":21,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2023,3]]}},"alternative-id":["9545"],"URL":"https:\/\/doi.org\/10.1007\/s10660-022-09545-9","relation":{},"ISSN":["1389-5753","1572-9362"],"issn-type":[{"type":"print","value":"1389-5753"},{"type":"electronic","value":"1572-9362"}],"subject":[],"published":{"date-parts":[[2022,3,29]]},"assertion":[{"value":"25 February 2022","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"29 March 2022","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Declarations"}},{"value":"On behalf of all authors, the corresponding author states that there is no conflict of interest.","order":2,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflict of interest"}}]}}