• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

News

St.Petersburg Economic seminar (HSE, EU, PDMI) on October, 15: Evgenii Vladimirov (University of Amsterdam)

Topic: Jump Contagion among Stock Market Indices: Evidence from Option Markets
Date & Time: October, 15; 18:00 - 19:00
Where: Zoom

Evgenii Vladimirov (University of Amsterdam) will give a talk on Jump Contagion among Stock Market Indices: Evidence from Option Markets
Time: 18:00 - 19:00

Abstract: This paper proposes a multivariate option pricing model with a mutually exciting jump component, also known as a multivariate Hawkes process, inducing time-series clustering of jumps in single markets and cross-sectional jump contagion among multiple markets. We formulate our model under both the physical and risk-neutral probability measures in an international context to jointly exploit information from the time series of stock market indices and their option price panels. For this model, we develop a semi-parametric estimation procedure based on the implied-state generalized method of moments employing a continuum of moment conditions obtained from the characteristic function of the state vector. We design a partial-information setting that allows us to reduce the computational burden arising in the multivariate set-up. Furthermore, we derive the asymptotic properties of our estimators and discuss in detail the calculation of the standard errors. Finally, we apply the univariate and bivariate versions of our model to a rich panel of high-frequency information on the FTSE 100 and DAX 30 stock market indices. Our findings suggest the presence of self-excitation effects in both indices and asymmetric jump contagion driven by the UK market.

If you are subscribed to our newsletter, the link will be included in the announcement. If you are not subscribed but would like to participate in the seminar, please send a request to spb.economic.seminar@gmail.com (in the email please mention your full name and place of work).