A switching self-exciting jump diffusion process for stock prices
type: Item
instance of: scholarly article
title: A switching self-exciting jump diffusion process for stock prices
zbMATH Open document ID: 1417.91502
author: Donatien Hainaut
author: Franck Moraux
published in: Annals of Finance
publication date: 2019-06-28T00:00:00Z
full work available at URL: Hainaut A switching self-exciting jump.pdf
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 7075030
zbMATH Keywords: switching regime
zbMATH Keywords: Hawkes process
zbMATH Keywords: self-excited jumps
zbMATH Keywords: jump diffusion process
MaRDI profile type: Publication
OpenAlex ID: W2873961620
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Wikidata QID: Q129154284
DOI: 10.1007/S10436-018-0340-5
description: scientific article; zbMATH DE number 7075030