15-118/III - Exploiting Spillovers to forecast Crashes

• Authors
  Francine Gresnigt, Erasmus University Rotterdam; Erik Kole, Erasmus University Rotterdam; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands
• Publication date
  October 23, 2015

• Keywords
  Hawkes processes, extremal dependence, Value-at-Risk, financial crashes, spillover
• JEL
  G01, G17