Exploiting spillovers to forecast crashes
Francine Gresnigt, Erik Kole and Philip Hans Franses
| Year of publication: |
December 2017
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|---|---|
| Authors: | Gresnigt, Francine ; Kole, Erik ; Franses, Philip Hans |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 8, p. 936-955
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| Subject: | Hawkes processes | extremal dependence | value‐at‐risk | financial crashes | spill‐over | Finanzkrise | Financial crisis | Spillover-Effekt | Spillover effect | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Theorie | Theory | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2434 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860928