Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process

Abstract We examine the clustering behavior of price and variance jumps using high-frequency data, modeled as a marked Hawkes process (MHP) embedded in a bivariate jump-diffusion model with intraday periodic effects. We find that the jumps of both individual stocks and a broad index exhibit self-exc...

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Veröffentlicht in:	Journal of financial econometrics 2024, Vol.22 (3), p.743-772
Hauptverfasser:	Chen, Jian, Clements, Michael P, Urquhart, Andrew
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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