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Stock market
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
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13
Finanzmarkt
13
Market microstructure
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13
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12
Schätzung
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Aktienmarkt
6
EM algorithm
6
Monte Carlo simulation
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Securities trading
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endogeneity
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self-exciting process
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Aït-Sahalia, Yacine
1
Buccioli, Alice
1
Cacho-Diaz, Julio
1
Fan, Lina
1
Ferriani, Fabrizio
1
Kokholm, Thomas
1
Laeven, Roger J. A.
1
Lee, Kyungsub
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Ma, Yong
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Seo, Byoung Ki
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Xu, Weidong
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Yang, Hao
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Zhai, Jia
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The European journal of finance
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Finance research letters
1
Journal of financial econometrics
1
Journal of financial economics
1
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ECONIS (ZBW)
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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
Modeling bid and ask price dynamics with an extended
hawkes
process
and its empirical applications for high-frequency stock market data
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1099-1142
Persistent link: https://www.econbiz.de/10014391445
Saved in:
3
The dynamics of price jumps in the stock market : an empirical study on Europe and U.S.
Ferriani, Fabrizio
;
Zoi, Patrick
- In:
The European journal of finance
28
(
2022
)
7
,
pp. 718-742
Persistent link: https://www.econbiz.de/10013373314
Saved in:
4
Shock waves and golden shores : the asymmetric interaction between gold prices and the stock market
Buccioli, Alice
;
Kokholm, Thomas
- In:
The European journal of finance
28
(
2022
)
7
,
pp. 743-760
Persistent link: https://www.econbiz.de/10013373319
Saved in:
5
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:
6
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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