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Capital income
Hawkes process
102
Theorie
49
Theory
49
Börsenkurs
42
Share price
42
Stochastic process
38
Stochastischer Prozess
38
Volatility
36
Volatilität
36
Option pricing theory
14
Optionspreistheorie
14
Financial market
13
Finanzmarkt
13
Market microstructure
13
Marktmikrostruktur
13
Estimation
12
Schätzung
12
Financial crisis
11
Finanzkrise
11
Portfolio selection
11
Portfolio-Management
11
Kapitaleinkommen
10
Markov chain
8
Markov-Kette
8
Time series analysis
8
Zeitreihenanalyse
8
Ansteckungseffekt
7
Bayesian Markov chain Monte Carlo
7
Contagion effect
7
Stochastic volatility
7
Aktienmarkt
6
EM algorithm
6
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Securities trading
6
Stock market
6
Wertpapierhandel
6
endogeneity
6
self-exciting process
6
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7
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3
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3
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English
10
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Chen, Jing
2
Forbes, Catherine Scipione
2
Hawkes, Alan
2
Maneesoonthorn, Worapree
2
Martin, Gael M.
2
Aït-Sahalia, Yacine
1
Cacho-Diaz, Julio
1
Clements, Ada
1
Clements, Adam
1
Fan, Lina
1
Foschi, Rachele
1
Herrera, Rodrigo
1
Khashanah, Khaldoun
1
Laeven, Roger J. A.
1
Liao, Yin
1
Lilla, Francesca
1
Liu, Anqi
1
Ma, Yong
1
Mancini, Cecilia
1
Xu, Weidong
1
Yang, Hao
1
Yang, Steve Y.
1
Zhai, Jia
1
Zhang, Weiguo
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Zhang, Xiaotao
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Quantitative finance
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Finance research letters
1
International journal of forecasting
1
Journal of financial economics
1
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ECONIS (ZBW)
10
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1
Forecasting stock volatility during the stock market crash period : the role of
Hawkes
process
Fan, Lina
;
Yang, Hao
;
Zhai, Jia
;
Zhang, Xiaotao
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10014473015
Saved in:
2
Warnings about future jumps : properties of the exponential Hawkes model
Foschi, Rachele
;
Lilla, Francesca
;
Mancini, Cecilia
-
2020
Persistent link: https://www.econbiz.de/10012306820
Saved in:
3
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
4
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
5
A marked point process model for intraday financial returns : modeling extreme risk
Herrera, Rodrigo
;
Clements, Adam
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
4
,
pp. 1575-1601
Persistent link: https://www.econbiz.de/10012219662
Saved in:
6
A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun
;
Chen, Jing
;
Hawkes, Alan
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
Saved in:
7
Applications of a multivariate
Hawkes
process
to joint modeling of sentiment and market return events
Yang, Steve Y.
;
Liu, Anqi
;
Chen, Jing
;
Hawkes, Alan
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 295-310
Persistent link: https://www.econbiz.de/10011906342
Saved in:
8
Forecasting the variance of stock index returns using jumps and cojumps
Clements, Ada
;
Liao, Yin
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 729-742
Persistent link: https://www.econbiz.de/10011746201
Saved in:
9
Modeling financial contagion using mutually exciting jump processes
Aït-Sahalia, Yacine
;
Cacho-Diaz, Julio
;
Laeven, Roger J. A.
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 585-606
Persistent link: https://www.econbiz.de/10011480318
Saved in:
10
Stock market interactions driven by large declines
Ma, Yong
;
Zhang, Weiguo
;
Zhang, Zhengjun
;
Xu, Weidong
- In:
Emerging markets finance & trade : a journal of the …
50
(
2014
),
pp. 159-171
Persistent link: https://www.econbiz.de/10010485770
Saved in:
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