Arbeitspapier
Exploiting Spillovers to forecast Crashes
We develop Hawkes models in which events are triggered through self as well as cross-excitation. We examine whether incorporating cross-excitation improves the forecasts of extremes in asset returns compared to only self-excitation. The models are applied to US stocks, bonds and dollar exchange rates. In-sample, a Lagrange Multiplier test indicates the existence of cross-excitation for these series. Out-of-sample, we find that the models that include spillover effects forecast crashes and the Value-at-Risk significantly more accurately than the models without.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 15-118/III
- Klassifikation
-
Wirtschaft
Financial Crises
Financial Forecasting and Simulation
- Thema
-
Hawkes processes
extremal dependence
Value-at-Risk
financial crashes
spillover
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gresnigt, Francine
Kole, Erik
Franses, Philip Hans
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gresnigt, Francine
- Kole, Erik
- Franses, Philip Hans
- Tinbergen Institute
Entstanden
- 2015
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