Pages that link to "Item:Q4683069"

The following pages link to Modelling systemic price cojumps with Hawkes factor models (Q4683069):

Displaying 16 items.

• Cojumps and asset allocation in international equity markets (Q1734591) (← links)
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages (Q2246755) (← links)
• A realized volatility approach to option pricing with continuous and jump variance components (Q2292059) (← links)
• A switching microstructure model for stock prices (Q2312402) (← links)
• A Pure-Jump Transaction-Level Price Model Yielding Cointegration (Q3063005) (← links)
• Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
• Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
• Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (Q4554423) (← links)
• The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← 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)
• Characterizing financial crises using high-frequency data (Q5079366) (← links)
• Endogenous liquidity crises (Q5135044) (← links)
• Exchange options under clustered jump dynamics (Q5139207) (← links)
• Multivariate self-exciting jump processes with applications to financial data (Q6103234) (← links)
• Multivariate quadratic Hawkes processes—part I: theoretical analysis (Q6158435) (← links)