{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,18]],"date-time":"2026-09-18T06:23:18Z","timestamp":1789712598754,"version":"4.0.1"},"reference-count":30,"publisher":"Informa UK Limited","license":[{"start":{"date-parts":[[2026,5,26]],"date-time":"2026-05-26T00:00:00Z","timestamp":1779753600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Netherlands Organization for Scientific Research"}],"content-domain":{"domain":["www.tandfonline.com"],"crossmark-restriction":true},"short-container-title":["Journal of the American Statistical Association"],"DOI":"10.1080\/01621459.2026.2635068","type":"journal-article","created":{"date-parts":[[2026,3,10]],"date-time":"2026-03-10T15:22:56Z","timestamp":1773156176000},"page":"1-14","update-policy":"https:\/\/doi.org\/10.1080\/tandf_crossmark_01","source":"Crossref","is-referenced-by-count":1,"title":["Jump Contagion among Stock Market Indices: Evidence from Option Markets"],"prefix":"10.1080","author":[{"given":"H. Peter","family":"Boswijk","sequence":"first","affiliation":[{"name":"Department of Quantitative Economics, University of Amsterdam","place":["The Netherlands"]},{"name":"Tinbergen Institute","place":["Amsterdam, The Netherlands"]}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Roger J. A.","family":"Laeven","sequence":"additional","affiliation":[{"name":"Department of Quantitative Economics, University of Amsterdam","place":["The Netherlands"]},{"name":"CentER, Tilburg University, Tilburg","place":["The Netherlands"]},{"name":"EURANDOM, Eindhoven University of Technology","place":["Eindhoven, The Netherlands"]}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Andrei","family":"Lalu","sequence":"additional","affiliation":[{"name":"Department of Quantitative Economics, University of Amsterdam","place":["The Netherlands"]},{"name":"Tinbergen Institute","place":["Amsterdam, The Netherlands"]}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Evgenii","family":"Vladimirov","sequence":"additional","affiliation":[{"name":"Department of Quantitative Economics, University of Amsterdam","place":["The Netherlands"]},{"name":"Tinbergen Institute","place":["Amsterdam, The Netherlands"]}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"301","published-online":{"date-parts":[[2026,5,26]]},"reference":[{"key":"e_1_3_4_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.002"},{"key":"e_1_3_4_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.05.006"},{"key":"e_1_3_4_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.215228"},{"key":"e_1_3_4_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2016.05.002"},{"key":"e_1_3_4_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12486"},{"key":"e_1_3_4_7_1","doi-asserted-by":"crossref","first-page":"662","DOI":"10.1080\/07350015.2018.1564318","article-title":"\u201cThe Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets,\u201d","volume":"38","author":"Andersen T. G.","year":"2020","unstructured":"Andersen, T. G., Fusari, N., and Todorov, (2020), \u201cThe Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets,\u201d Journal of Business & Economic Statistics, 38, 662\u2013678.","journal-title":"Journal of Business & Economic Statistics"},{"key":"e_1_3_4_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2006.12.001"},{"key":"e_1_3_4_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2018.09.008"},{"key":"e_1_3_4_10_1","doi-asserted-by":"crossref","first-page":"1727","DOI":"10.3982\/ECTA9240","article-title":"\u201cEstimation of Jump Tails,\u201d","volume":"79","author":"Bollerslev T.","year":"2011","unstructured":"Bollerslev, T., and Todorov, V. (2011), \u201cEstimation of Jump Tails,\u201d Econometrica, 79, 1727\u20131783.","journal-title":"Econometrica"},{"key":"e_1_3_4_11_1","volume-title":"Asset Returns with Self-Exciting Jumps: Option Pricing and Estimation with a Continuum of Moments","author":"Boswijk H. P.","year":"2015","unstructured":"Boswijk, H. P., Laeven, R. J., and Lalu, A. (2015), \u201cAsset Returns with Self-Exciting Jumps: Option Pricing and Estimation with a Continuum of Moments,\u201d Technical Report. Amsterdam: University of Amsterdam and Tinbergen Institute."},{"key":"e_1_3_4_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2007.01241.x"},{"key":"e_1_3_4_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.013"},{"key":"e_1_3_4_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600166010"},{"key":"e_1_3_4_15_1","volume-title":"Efficient GMM Estimation Using the Empirical Characteristic Function","author":"Carrasco M.","year":"2002","unstructured":"Carrasco, M., and Florens, J.-P. (2002), \u201cEfficient GMM Estimation Using the Empirical Characteristic Function,\u201d (Technical Report). Toulouse: Institut d\u2019\u00c9conomie Industrielle (IDEI)."},{"key":"e_1_3_4_16_1","first-page":"81","article-title":"\u201cTrans-Atlantic Equity Volatility Connectedness: US and European Financial Institutions,","volume":"14","author":"Diebold F. X.","year":"2015","unstructured":"Diebold, F. X., and Yilmaz, K. (2015), \u201cTrans-Atlantic Equity Volatility Connectedness: US and European Financial Institutions, 2004\u20132014,\u201d Journal of Financial Econometrics, 14, 81\u2013127.","journal-title":"2004\u20132014,\u201d Journal of Financial Econometrics"},{"key":"e_1_3_4_17_1","first-page":"2360","article-title":"\u201cThe Pricing of Jump Propagation: Evidence from Spot and Options Markets,\u201d","volume":"65","author":"Du D.","year":"2019","unstructured":"Du, D., and Luo, D. (2019), \u201cThe Pricing of Jump Propagation: Evidence from Spot and Options Markets,\u201d Management Science, 65, 2360\u20132387.","journal-title":"Management Science"},{"key":"e_1_3_4_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"e_1_3_4_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2017.09.002"},{"key":"e_1_3_4_20_1","doi-asserted-by":"publisher","DOI":"10.1137\/090771272"},{"key":"e_1_3_4_21_1","doi-asserted-by":"crossref","unstructured":"Guo H. Sanni S. A. and Yu Y. (2022) \u201cSearching for the Best Conditional Equity Premium Model \u201d Technical Report. Available at SSRN: https:\/\/ssrn.com\/abstract=4168294.","DOI":"10.2139\/ssrn.4168294"},{"key":"e_1_3_4_22_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/58.1.83"},{"key":"e_1_3_4_23_1","volume-title":"Options, Futures, and Other Derivatives","author":"Hull J. C.","year":"2021","unstructured":"Hull, J. C. (2021), Options, Futures, and Other Derivatives (11th ed.), Harlow: Pearson.","edition":"11"},{"key":"e_1_3_4_24_1","doi-asserted-by":"publisher","DOI":"10.1214\/08-AOS624"},{"key":"e_1_3_4_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2016.01.012"},{"key":"e_1_3_4_26_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhl013"},{"key":"e_1_3_4_27_1","doi-asserted-by":"crossref","first-page":"145","DOI":"10.1016\/j.jfineco.2010.03.017","article-title":"\u201cPricing American Options under Stochastic Volatility and Stochastic Interest Rates,\u201d","volume":"98","author":"Medvedev A.","year":"2010","unstructured":"Medvedev, A., and Scaillet, O. (2010), \u201cPricing American Options under Stochastic Volatility and Stochastic Interest Rates,\u201d Journal of Financial Economics, 98, 145\u2013159.","journal-title":"Journal of Financial Economics"},{"key":"e_1_3_4_28_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1988.10478560"},{"key":"e_1_3_4_29_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00088-5"},{"key":"e_1_3_4_30_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00092-0"},{"key":"e_1_3_4_31_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2018.1489139"}],"container-title":["Journal of the American Statistical Association"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.tandfonline.com\/doi\/pdf\/10.1080\/01621459.2026.2635068","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,5,26]],"date-time":"2026-05-26T14:28:06Z","timestamp":1779805686000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/01621459.2026.2635068"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026,5,26]]},"references-count":30,"alternative-id":["10.1080\/01621459.2026.2635068"],"URL":"https:\/\/doi.org\/10.1080\/01621459.2026.2635068","relation":{},"ISSN":["0162-1459","1537-274X"],"issn-type":[{"value":"0162-1459","type":"print"},{"value":"1537-274X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2026,5,26]]},"assertion":[{"value":"The publishing and review policy for this title is described in its Aims & Scope.","order":1,"name":"peerreview_statement","label":"Peer Review Statement"},{"value":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=uasa20","URL":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=uasa20","order":2,"name":"aims_and_scope_url","label":"Aim & Scope"},{"value":"2023-06-23","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-01-28","order":1,"name":"revised","label":"Revised","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-02-05","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2026-05-26","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}