Maneesoonthorn, Worapree; Forbes, Catherine S.; Martin, … - Department of Econometrics and Business Statistics, … - 2013
This paper investigates the dynamic behaviour of jumps in financial prices and volatility. The proposed model is based on a standard jump diffusion process for price and volatility augmented by a bivariate Hawkes process for the two jump components. The latter process speci.es a joint dynamic...