Pages that link to "Item:Q4555068"

The following pages link to Quadratic Hawkes processes for financial prices (Q4555068):

Displaying 19 items.

• Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes (Q2144192) (← links)
• Testing the causality of Hawkes processes with time reversal (Q4964526) (← links)
• The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
• Exogenous and endogenous price jumps belong to different dynamical classes (Q5032079) (← links)
• An ephemerally self-exciting point process (Q5084789) (← links)
• The Zumbach effect under rough Heston (Q5121491) (← links)
• Endogenous liquidity crises (Q5135044) (← links)
• The endo–exo problem in high frequency financial price fluctuations and rejecting criticality (Q5234347) (← links)
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
• Volatility is (mostly) path-dependent (Q6053108) (← links)
• The EWMA Heston model (Q6101022) (← links)
• Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources (Q6115890) (← links)
• Multivariate quadratic Hawkes processes—part I: theoretical analysis (Q6158435) (← links)
• Coupled GARCH(1,1) model (Q6158437) (← links)
• Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)
• Affine Heston model style with self-exciting jumps and long memory (Q6536770) (← links)
• On the universality of the volatility formation process: when machine learning and rough volatility agree (Q6549691) (← links)
• Scale dependencies and self-similar models with wavelet scattering spectra (Q6657431) (← links)
• Deep calibration with random grids (Q6657700) (← links)