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Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 15-118/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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.
Schlagwörter: 
Hawkes processes
extremal dependence
Value-at-Risk
financial crashes
spillover
JEL: 
G01
G17
Dokumentart: 
Working Paper
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