Warnings about Future Jumps: Properties of the Exponential Hawkes Model.
We analyze jump risks in financial asset prices modeled by Ito semimartingales with an exponential Hawkes process as the jump counter. First, using little information, we estimate the probability that an observed jump cluster is not yet exhausted. Second, we make explicit the conditional density of...
| Published in: | Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 38 |
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| Main Authors: | , , |
| Format: | Article |
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Oxford University Press / USA
2026
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| Subjects: | |
| Online Access: | View this record in EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=194637001&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 194637001 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14798409 T2Y jtl: Journal of Financial Econometrics issn: 14798409 maglogo: N pubinfo: dt: 2026 vid: 24 iid: 3 pid: 622 pub: Oxford University Press / USA artinfo: ui: 194637001 10.1093/jjfinec/nbag007 ppf: 1 ppct: 37 formats: tig: atl: Warnings about Future Jumps: Properties of the Exponential Hawkes Model. aug: au: Foschi, Rachele Lilla, Francesca Mancini, Cecilia affil: University of Pisa Bank of Italy University of Verona su: Semimartingales (Mathematics) Prices of securities Financial databases Investment risk Probability density function sug: subj: Securities Brokerage Investment Banking and Securities Dealing Semimartingales (Mathematics) Prices of securities Financial databases Investment risk Probability density function keyword: C18 C41 C58 cluster residual length copyrightHolder:Oxford University Press copyrightYear:2026 inLanguage:en jump and realized variance forecasting jump cluster jump risk publisher:Oxford University Press sameAs:https://dx.doi.org/10.1093/jjfinec/nbag007 truncation C18 C41 C58 cluster residual length copyrightHolder:Oxford University Press copyrightYear:2026 inLanguage:en jump and realized variance forecasting jump cluster jump risk publisher:Oxford University Press sameAs:https://dx.doi.org/10.1093/jjfinec/nbag007 truncation ab: We analyze jump risks in financial asset prices modeled by Ito semimartingales with an exponential Hawkes process as the jump counter. First, using little information, we estimate the probability that an observed jump cluster is not yet exhausted. Second, we make explicit the conditional density of consecutive jump durations and prove that durations stochastically increase. Third, we provide bounds for jump probabilities in consecutive time intervals. Application to 5-minute U.S. returns shows that cluster depletion probabilities strongly correlate with the expected yearly jump count, and improve jump forecasts. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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