Characterizing financial crises using high-frequency data

DOI10.1080/14697688.2022.2027504zbMATH Open1491.91157OpenAlexW4211037474MaRDI QIDQ5079366FDOQ5079366

Authors: Mardi Dungey, Jet Holloway, Abdullah Yalaman, Wenying Yao 

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2027504

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zbMATH Keywords

tail behaviorhigh-frequency datafinancial crisisUS Treasury markets

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Title not available (Why is that?)
• ARCH models as diffusion approximations
• Testing for jumps in a discretely observed process
• Estimating the degree of activity of jumps in high frequency data
• Increased correlation among asset classes: are volatility or jumps to blame, or both?
• Activity signature functions for high-frequency data analysis
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• Is Brownian motion necessary to model high-frequency data?
• Identifying the successive Blumenthal-Getoor indices of a discretely observed process
• Testing whether jumps have finite or infinite activity
• Testing for mutually exciting jumps and financial flights in high frequency data
• Jump Regressions
• Empirical modelling of contagion: a review of methodologies
• A new class of tests of contagion with applications
• Modelling systemic price cojumps with Hawkes factor models
• Collective synchronization and high frequency systemic instabilities in financial markets

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