Testing for mutually exciting jumps and financial flights in high frequency data

DOI10.1016/j.jeconom.2017.09.002zbMath1378.62016OpenAlexW2762480283WikidataQ110446505 ScholiaQ110446505MaRDI QIDQ1680187

Marius Matei, Xiye Yang, Deniz Erdemlioglu, Mardi Dungey

Publication date: 23 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.09.002

zbMATH Keywords

high frequency datanonparametric teststock-bond comovementflight-to-qualityflight-to-safetymutual excitation in jumpsreverse cross-excitations

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

Related Items (6)

Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation ⋮ Characterizing financial crises using high-frequency data ⋮ Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process ⋮ Testing the volatility jumps based on the high frequency data ⋮ Testing for self-excitation in jumps ⋮ Testing for jumps and jump intensity path dependence

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