Self-exciting jumps, learning, and asset pricing implications

• Main Authors: FULOP, Andras, LI, Junye, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: stock-prices; excess volatility; financial-markets; levy processes; predictability; returns; simulation; finite; risk; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/soe_research/2356; https://ink.library.smu.edu.sg/context/soe_research/article/3355/viewcontent/Self_exciting_jumps_2015_av.pdf
• Institution: Singapore Management University

The paper proposes a self-exciting asset pricing model that takes into account co-jumps between prices and volatility and self-exciting jump clustering. We employ a Bayesian learning approach to implement real-time sequential analysis. We find evidence of self-exciting jump clustering since the 1987...