Modelling systemic price cojumps with Hawkes factor models
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Publication:4683069
Abstract: Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these jumps is described neither by a multivariate Poisson nor by a multivariate Hawkes model. We introduce a Hawkes one factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets.
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Cited in
(20)- Cojumps and asset allocation in international equity markets
- A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
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- Multivariate quadratic Hawkes processes—part I: theoretical analysis
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
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