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subject:"Volatilität"
~isPartOf:"Applied economics letters"
~isPartOf:"Quantitative finance"
~person:"Asensio, Ivan Oscar"
~person:"Sornette, Didier"
~subject:"EU countries"
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Asensio, Ivan Oscar
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Applied economics letters
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Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
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2
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
3
VIX futures term structure and the expectations hypothesis
Asensio, Ivan Oscar
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
Saved in:
4
The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer
;
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1165-1178
Persistent link: https://www.econbiz.de/10012194752
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