Modelling systemic price cojumps with Hawkes factor models
Lucio Maria Calcagnile,
Fulvio Corsi (),
Stefano Marmi and
Papers from arXiv.org
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.
Date: 2013-01, Revised 2013-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1301.6141
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