Search results for "Cojump"

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Modelling systemic price cojumps with Hawkes factor models

2015

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.

Multivariate statisticsEconomicsSystemic shockPoisson distribution01 natural sciencesSynchronizationEconometrics and Finance (all)2001 EconomicsFOS: Economics and business010104 statistics & probabilitysymbols.namesakeHigh frequency data0502 economics and businessEconomicsEconometricsCojumps0101 mathematicsCojumps; Hawkes processes; High frequency data; Systemic shocks; Finance; Economics Econometrics and Finance (all)2001 Economics Econometrics and Finance (miscellaneous)Time clusteringFactor analysisSettore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e FinanziarieStatistical Finance (q-fin.ST)050208 financeSystemic shocksHawkes processe05 social sciencesQuantitative Finance - Statistical FinanceEconomics Econometrics and Finance (all)2001 Economics Econometrics and Finance (miscellaneous)Econometrics and Finance (miscellaneous)symbolsCojumpHawkes processesGeneral Economics Econometrics and FinanceFinanceSign (mathematics)Quantitative Finance
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