Self-Exciting Jumps , Learning , and Asset Pricing Implications

@inproceedings{Fulop2014SelfExcitingJ,
  title={Self-Exciting Jumps , Learning , and Asset Pricing Implications},
  author={Andras Fulop and Jingjing Li and Jun Yu},
  year={2014}
}
The paper proposes a self-exciting asset pricing model that takes into account cojumps 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 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. It is found that learning affects the tail behaviors of the return distributions and has… CONTINUE READING

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