Testing for mutually exciting jumps and ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
Testing for mutually exciting jumps and financial flights in high frequency data
Auteur(s) :
Dungey, Mardi [Auteur]
Erdemlioglu, Deniz [Auteur]
Lille économie management - UMR 9221 [LEM]
Matei, Marius [Auteur]
Yang, Xiye [Auteur]
Erdemlioglu, Deniz [Auteur]
Lille économie management - UMR 9221 [LEM]
Matei, Marius [Auteur]
Yang, Xiye [Auteur]
Titre de la revue :
Journal of Econometrics
Pagination :
18-44
Éditeur :
Elsevier
Date de publication :
2018-01
ISSN :
0304-4076
Mot(s)-clé(s) en anglais :
Flight-to-safety
Flight-to-quality
Mutual excitation in jumps
High frequency data
Stock–bond comovement
Flight-to-quality
Mutual excitation in jumps
High frequency data
Stock–bond comovement
Discipline(s) HAL :
Sciences de l'Homme et Société/Gestion et management
Résumé en anglais : [en]
We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in ...
Lire la suite >We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically characterize the dynamics of financial flights in forms of flight-to-safety and flight-to-quality. The results indicate that mutually exciting jumps and risk-off trades mostly occur in periods of high market stress. Flight-to-safety episodes (from stocks to gold) arrive more frequently than do flight-to-quality spells (from stocks to bonds). We further find evidence that reverse cross-excitations or seeking-return-strategies exhibit significant asymmetry over the business cycle, reflecting the fact that investors appear to be selling gold – rather than bonds – to invest in stocks during good market conditions.Lire moins >
Lire la suite >We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically characterize the dynamics of financial flights in forms of flight-to-safety and flight-to-quality. The results indicate that mutually exciting jumps and risk-off trades mostly occur in periods of high market stress. Flight-to-safety episodes (from stocks to gold) arrive more frequently than do flight-to-quality spells (from stocks to bonds). We further find evidence that reverse cross-excitations or seeking-return-strategies exhibit significant asymmetry over the business cycle, reflecting the fact that investors appear to be selling gold – rather than bonds – to invest in stocks during good market conditions.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
Source :