期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 117, 期 3, 页码 585-606出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2015.03.002
关键词
Jumps; Contagion; Crisis; Hawkes process; Self- and mutually exciting processes
资金
- NSF [SES-0850533]
- NWO [Veni-2006, Vidi-2009]
- Direct For Social, Behav & Economic Scie
- Divn Of Social and Economic Sciences [0850533] Funding Source: National Science Foundation
We propose a model to capture the dynamics of asset returns, with periods of crises that are characterized by contagion. In the model, a jump in one region of the world increases the intensity of jumps both in the same region (self-excitation) as well as in other regions (cross-excitation), generating episodes of highly clustered jumps across world markets that mimic the observed features of the data. We develop and implement moment-based estimation and testing procedures for this model. The estimates provide evidence of self-excitation both in the US and the other world markets, and of asymmetric cross-excitation, with the US market typically having more influence on the jump intensity of other markets than the reverse. We propose filtered values of the jump intensities as a measure of market stress and examine their out-of-sample forecasting abilities. (C) 2015 Elsevier B.V. All rights reserved.
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