We study the bivariate jump process involving the S&P 500 and the Euro Stoxx 50, with
jumps extracted from high-frequency data. In our analysis, based on Hawkes processes, we …

We examine the clustering behavior of price and variance jumps using high-frequency data,
modeled as a marked Hawkes process (MHP) embedded in a bivariate jump-diffusion …

We analyze the dynamics of price jumps and the impact of the European debt crisis using
the high-frequency data reported by selected stock exchanges on the European continent …

We analyze the behavior and performance of multiple price jump indicators across markets
and over time. By using high-frequency stock market data we identify clusters of price jump …

We employ high frequency data to study extreme price changes (ie, price jumps) in the
Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to …

In this paper, we analyze the jump intensity in the Euro area, Japan, the UK and the US and
measure their reactions to the US Federal Reserve meetings together with the country's own …

Instabilities in the price dynamics of a large number of financial assets are a clear sign of
systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock …

We are comparing two approaches for stochastic volatility and jumps estimation in the
EUR/USD time series-the non-parametric power-variation approach using high-frequency …

The simultaneous occurrence of jumps in several stocks can be associated with major
financial news, triggers short-term predictability in stock returns, is correlated with sudden …

Cascades of events and extreme occurrences have garnered significant attention across
diverse domains such as financial markets, seismology, and social physics. Such events can …