Modelling systemic price cojumps with Hawkes factor models
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Publication:4683069
DOI10.1080/14697688.2014.996586zbMath1398.91506arXiv1301.6141OpenAlexW2128915217MaRDI QIDQ4683069
Michele Treccani, Fabrizio Lillo, Lucio M. Calcagnile, Fulvio Corsi, Stefano Marmi, Giacomo Bormetti
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.6141
Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)
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