Characterizing financial crises using high-frequency data

DOI10.1080/14697688.2022.2027504MaRDI QIDQ5079366zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

tail behaviorhigh-frequency datafinancial crisisUS Treasury markets

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• A new class of tests of contagion with applications
• ARCH models as diffusion approximations
• Activity signature functions for high-frequency data analysis
• Collective synchronization and high frequency systemic instabilities in financial markets
• Empirical modelling of contagion: a review of methodologies
• Estimating the degree of activity of jumps in high frequency data
• Identifying the successive Blumenthal-Getoor indices of a discretely observed process
• Increased correlation among asset classes: are volatility or jumps to blame, or both?
• Is Brownian motion necessary to model high-frequency data?
• Jump Regressions
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• Modelling systemic price cojumps with Hawkes factor models
• Testing for jumps in a discretely observed process
• Testing for mutually exciting jumps and financial flights in high frequency data
• Testing whether jumps have finite or infinite activity

Cited in

(2)

• Mildly explosive dynamics in U.S. fixed income markets
• Detecting market crashes by analysing long-memory effects using high-frequency data

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