Modelling systemic price cojumps with Hawkes factor models
AbstractInstabilities 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1301.6141.
Date of creation: Jan 2013
Date of revision: Mar 2013
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-03 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007.
"Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market,"
CAMA Working Papers
2007-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009. "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
- Bowsher, Clive G., 2007.
"Modelling security market events in continuous time: Intensity based, multivariate point process models,"
Journal of Econometrics,
Elsevier, vol. 141(2), pages 876-912, December.
- Clive Bowsher, 2002. "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers 2002-W22, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013.
"Modelling microstructure noise with mutually exciting point processes,"
Taylor and Francis Journals, vol. 13(1), pages 65-77, January.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
- Ioane Muni Toke & Fabrizio Pomponio, 2012. "Modelling Trades-Through in a Limit Order Book Using Hawkes Processes," Post-Print hal-00745554, HAL.
- Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010.
"Threshold bipower variation and the impact of jumps on volatility forecasting,"
Journal of Econometrics,
Elsevier, vol. 159(2), pages 276-288, December.
- Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Fulvio Corsi & Davide Pirino & Roberto Renò, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print peer-00741630, HAL.
- Mardi Dungey & Lyudmyla Hvozdyk, 2010.
"Cojumping: Evidence from the US Treasury Bond and Futures Markets,"
NCER Working Paper Series
56, National Centre for Econometric Research, revised 20 Jul 2010.
- Dungey, Mardi & Hvozdyk, Lyudmyla, 2012. "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1563-1575.
- Tim Bollerslev & Viktor Todorov, 2011.
"Tails, Fears, and Risk Premia,"
Journal of Finance,
American Finance Association, vol. 66(6), pages 2165-2211, December.
- LAHAYE, Jérôme & LAURENT, Sébastien & NEELY, Christopher J., .
"Jumps, cojumps and macro announcements,"
CORE Discussion Papers RP
-2413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brownlees, C.T. & Gallo, G.M., 2006.
"Financial econometric analysis at ultra-high frequency: Data handling concerns,"
Computational Statistics & Data Analysis,
Elsevier, vol. 51(4), pages 2232-2245, December.
- Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Das, Sanjiv Ranjan & Uppal, Raman, 2002.
"Systemic Risk and International Portfolio Choice,"
CEPR Discussion Papers
3305, C.E.P.R. Discussion Papers.
- Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
- John M. Maheu & Thomas H. McCurdy, 2003.
"News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns,"
CIRANO Working Papers
- John M. Maheu & Thomas H. McCurdy, 2004. "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 755-793, 04.
- Toke, Ioane Muni & Pomponio, Fabrizio, 2012. "Modelling trades-through in a limit order book using hawkes processes," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(22), pages 1-23.
- Bjørn Eraker, 2004. "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Journal of Finance, American Finance Association, vol. 59(3), pages 1367-1404, 06.
- Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
- Armand Joulin & Augustin Lefevre & Daniel Grunberg & Jean-Philippe Bouchaud, 2008. "Stock price jumps: news and volume play a minor role," Papers 0803.1769, arXiv.org.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If references are entirely missing, you can add them using this form.