Before revision:  We show that the dynamics of these jumps is not described neither by a multivariate Poisson nor by a multivariate Hawkes model , which are unable to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets .
After revision:  We show that the dynamics of these jumps is not described neither by a multivariate Poisson nor by a multivariate Hawkes model . We introduce a Hawkes one factor model which is able to capture simultaneously the time clustering of jumps and the high synchronization of jumps across assets .