全球智库信息集成服务系统(G2TT): Modeling Financial Contagion Using Mutually Exciting Jump Processes

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w15850
来源ID	Working Paper 15850
	Modeling Financial Contagion Using Mutually Exciting Jump Processes
	Yacine Aït-Sahalia; Julio Cacho-Diaz; Roger J.A. Laeven
发表日期	2010-03-25
出版年	2010
语种	英语
摘要	Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as Hawkes processes. In the model, a jump in one region of the world or one segment of the market increases the intensity of jumps occurring both in the same region (self-excitation) as well as in other regions (cross-excitation). The model generates the type of jump clustering that is observed empirically. Jump intensities then mean-revert until the next jump. We develop and implement an estimation procedure for this model. Our estimates provide evidence for self-excitation both in the US market as well as in other world markets. Furthermore, we find that US jumps tend to get reflected quickly in most other markets, while statistical evidence for the reverse transmission is much less pronounced. Implications of the model for measuring market stress, risk management and optimal portfolio choise are also investigated.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w15850
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/573523
推荐引用方式 GB/T 7714	Yacine Aït-Sahalia,Julio Cacho-Diaz,Roger J.A. Laeven. Modeling Financial Contagion Using Mutually Exciting Jump Processes. 2010.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w15850.pdf（1148KB）	智库出版物		限制开放	CC BY-NC-SA	浏览