Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an … increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we … Hawkes processes. In the model, a jump in one region of the world or one segment of the market increases the intensity of …

We develop and implement asymptotic theory to conduct inference on continuous-time asset pricing models using …