Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
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Publication:2188020
DOI10.1155/2020/7940647zbMath1459.91229OpenAlexW3028554323MaRDI QIDQ2188020
Jianxin Bi, Chao Yu, Xujie Zhao
Publication date: 3 June 2020
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/7940647
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Financial applications of other theories (91G80)
Cites Work
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
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- Jumps in equilibrium prices and market microstructure noise
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- Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
- Modelling Financial High Frequency Data Using Point Processes
- An Introduction to the Theory of Point Processes
- Estimating value-at-risk: a point process approach
- Modelling microstructure noise with mutually exciting point processes
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