Modelling Systemic Price Cojumps with Hawkes Factor Models
Year of publication: |
2013
|
---|---|
Authors: | Bormetti, Giacomo |
Other Persons: | Calcagnile, Lucio Maria (contributor) ; Treccani, Michele (contributor) ; Corsi, Fulvio (contributor) ; Marmi, Stefano (contributor) ; Lillo, Fabrizio (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | Schätzung | Estimation | Theorie | Theory | EU-Staaten | EU countries | Börsenkurs | Share price | Volatilität | Volatility |
Extent: | 1 Online-Ressource (30 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 25, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2209139 [DOI] |
Classification: | C32 - Time-Series Models ; C5 - Econometric Modeling ; C51 - Model Construction and Estimation ; G01 - Financial Crises ; G10 - General Financial Markets. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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