Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating portfolios of highly liquid stocks, we find that there are 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.
Titolo: | Modelling systemic price cojumps with Hawkes factor models | |
Autori: | ||
Data di pubblicazione: | 2015 | |
Rivista: | ||
Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/14697688.2014.996586 | |
Parole Chiave: | Cojumps; Hawkes processes; Systemic shocks; High frequency data | |
Handle: | http://hdl.handle.net/11384/56960 | |
Appare nelle tipologie: | 1.1 Articolo in rivista |
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