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Thursday, 8 November 2018
10:00 AM
Tinbergen Institute Amsterdam, room 1.60TIA room 1.60Netherlands
University of Amsterdam

To study high-frequency contagion, we develop a novel estimation routine based on particle filtering to estimate a simplified version of the Hawkes jump-diffusion model (Aït-Sahalia, Cacho-Diaz, & Laeven, 2015). We provide a Monte Carlo simulation study and an empirical application using 5-minute stock index futures returns of the S&P 500 and the FTSE 100. We find evidence of high-frequency contagion from the US to the UK, but not vice versa. Our novel estimation routine works well in simulations, but estimation of the Hawkes parameters remains difficult on real data.