Modeling Financial Intraday Jump Tail Contagion with High Frequency Data Using Mutually Exciting Hawkes Process
Financial extreme jumps in asset price may propagate across stock markets and lead to the market-wide crashes, which severely threatens the stability of the financial system. In order to analyzing the contagion features of jump tail risk, this paper proposes a mutually exciting contagion model based...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/7940647 |
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