Pages that link to "Item:Q3094498"
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The following pages link to Multivariate Hawkes processes: an application to financial data (Q3094498):
Displaying 46 items.
- (Q2940155) (← links)
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions (Q2968465) (← links)
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318) (← links)
- Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation (Q3295733) (← links)
- Affine Point Processes: Approximation and Efficient Simulation (Q3465933) (← links)
- A model for interest rates with clustering effects (Q4554210) (← links)
- Transform analysis for Hawkes processes with applications in dark pool trading (Q4554422) (← links)
- Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (Q4554423) (← links)
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
- Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
- An estimation procedure for the Hawkes process (Q4555098) (← links)
- (Q4614106) (← links)
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496) (← links)
- Testing the causality of Hawkes processes with time reversal (Q4964526) (← links)
- An extension of Hawkes processes with ephemeral nearest effects (Q4998027) (← links)
- The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
- (Q5011451) (← links)
- Self-exciting jump processes and their asymptotic behaviour (Q5056593) (← links)
- Parameter Estimation of Binned Hawkes Processes (Q5057223) (← links)
- Mean-Variance Portfolio Selection in Contagious Markets (Q5071496) (← links)
- State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
- Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
- A Scaling Limit for Limit Order Books Driven by Hawkes Processes (Q5227409) (← links)
- FLEXIBLE STATISTICAL MODELLING OF THE OCCURRENCES OF TRANSCRIPTION FACTOR BINDING SITES ALONG A DNA SEQUENCE (Q5229486) (← links)
- A self-exciting switching jump diffusion: properties, calibration and hitting time (Q5234300) (← links)
- The Hawkes Process with Different Exciting Functions and its Asymptotic Behavior (Q5252235) (← links)
- (Q5346032) (← links)
- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling (Q5407023) (← links)
- Online score statistics for detecting clustered change in network point processes (Q5883824) (← links)
- A Conversation With Paul Embrechts (Q6064127) (← links)
- Multivariate self-exciting jump processes with applications to financial data (Q6103234) (← links)
- Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources (Q6115890) (← links)
- Bayesian estimation of nonlinear Hawkes processes (Q6120835) (← links)
- Doubly time-dependent Hawkes process and applications in failure sequence analysis (Q6136311) (← links)
- Multivariate quadratic Hawkes processes—part I: theoretical analysis (Q6158435) (← links)
- Bootstrap inference for Hawkes and general point processes (Q6163273) (← links)
- Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity (Q6172146) (← links)
- Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks (Q6173879) (← links)
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
- Tail behavior of ACD models and consequences for likelihood-based estimation (Q6193064) (← links)
- A mutually exciting rough jump-diffusion for financial modelling (Q6495741) (← links)
- Multivariate Hawkes processes with spatial covariates for spatiotemporal event data analysis (Q6580096) (← links)
- Hedging and utility valuation of a defaultable claim driven by Hawkes processes (Q6580708) (← links)
- Cyber risk modeling: a discrete multivariate count process approach (Q6587495) (← links)
- A self-exciting marked point process model for drought analysis (Q6617831) (← links)
- Multivariate Hawkes process allowing for common shocks (Q6650757) (← links)