We study the bivariate jump process involving the S&P 500 and the Euro Stoxx 50 with jumps extracted from high frequency data using non-parametric methods. Our analysis, based on a generalized Hawkes process, reveals the presence of self-excitation in the jump activity which is responsible for...

A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a characterization of stochastic models of stock price...

The impact that informed and uninformed agents have on market prices is crucial for informational issues in financial markets. Informed trades are associated with institutional operators while uninformed trades are executed on behalf of retail investors. Using high-frequency data from Euronext...

The impact that informed and uninformed agents have on market prices is crucial for informational issues in financial markets. Informed trades are associated with institutional operators while uninformed trades are executed on behalf of retail investors. Using high-frequency data from Euronext...

Using more than a decade of firm-level data on U.S. oil producers’ hedging portfolios, we document for the first time a strong positive link between net worth and hedging in the oil producing sector. We exploit as quasi-natural experiments two similarly dramatic oil price slumps, in 2008 and...

The advent of shale oil in the United States triggered a structural transformation in the oil market. We show, both theoretically and empirically, that this process has relevant consequences on oil risk premia. We construct a consumption-based model with shale producers interacting with...