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~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"Hawkes process"
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Hawkes process
65
Theorie
40
Theory
40
Börsenkurs
30
Share price
30
Stochastic process
30
Stochastischer Prozess
30
Volatility
27
Volatilität
27
Estimation
10
Option pricing theory
10
Optionspreistheorie
10
Schätzung
10
Financial market
9
Finanzmarkt
9
Market microstructure
9
Marktmikrostruktur
9
Portfolio selection
9
Portfolio-Management
9
Ansteckungseffekt
7
Capital income
7
Contagion effect
7
Financial crisis
7
Finanzkrise
7
Kapitaleinkommen
7
Aktienmarkt
6
Stock market
6
Credit risk
5
Forecasting model
5
Kreditrisiko
5
Option trading
5
Optionsgeschäft
5
Prognoseverfahren
5
Bid-ask spread
4
Contagion
4
Derivat
4
Derivative
4
Geld-Brief-Spanne
4
Jumps
4
Lebensversicherung
4
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Undetermined
66
Free
9
Type of publication
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Article
79
Type of publication (narrower categories)
All
Aufsatz in Zeitschrift
Article in journal
79
Working Paper
25
Arbeitspapier
20
Graue Literatur
20
Non-commercial literature
20
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5
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English
79
Author
All
Hainaut, Donatien
7
Chen, Jing
5
Dassios, Angelos
4
Clements, Adam
3
Herrera, Rodrigo
3
Jang, Jiwook
3
Lee, Kyungsub
3
Ma, Yong
3
Seo, Byoung Ki
3
Sornette, Didier
3
Sviščuk, Anatolij
3
Wehrli, Alexander
3
Yang, Steve Y.
3
Zhao, Hongbiao
3
Aït-Sahalia, Yacine
2
Bacry, Emmanuel
2
Buccioli, Alice
2
Hawkes, Alan
2
Kokholm, Thomas
2
Li, Shuanming
2
Liu, Guo
2
Moraux, Franck
2
Muzy, Jean-François
2
Wheatley, Spencer
2
Zhuo, Jin
2
Baldwin, Adrian
1
Ball, George P.
1
Banerjee, Tamal
1
Barsotti, Flavia
1
Bessy-Roland, Yannick
1
Bian, Baojun
1
Boumezoued, Alexandre
1
Cacho-Diaz, Julio
1
Cai, Yuzhi
1
Cavaliere, Giuseppe
1
Chakravarty, Sugato
1
Chen, Xinfu
1
Chen, Yong
1
Chen, Yufan
1
Cheng, Chunli
1
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The European journal of finance
11
Quantitative finance
9
Insurance / Mathematics & economics
7
Risks : open access journal
4
Journal of banking & finance
3
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
2
Annals of finance
2
Economic modelling
2
Finance research letters
2
International journal of theoretical and applied finance
2
The journal of futures markets
2
Asia Pacific financial markets
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
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
Energy economics
1
European journal of operational research : EJOR
1
Finance and stochastics
1
Information & management : the internat. journal of management processes and systems ; journal of IFIP Users Group
1
International journal of financial engineering
1
International journal of forecasting
1
International review of economics & finance : IREF
1
Journal of applied econometrics
1
Journal of econometrics
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of mathematical finance
1
Journal of risk and financial management : JRFM
1
Journal of the Operational Research Society
1
Journal of the Operational Research Society : OR
1
Manufacturing & service operations management : M & SOM
1
Market microstructure and liquidity
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematics and financial economics
1
Operations research
1
Review of Pacific Basin financial markets and policies
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
79
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51
Disentangling and quantifying market participant volatility contributions
Rambaldi, Marcello
;
Bacry, Emmanuel
;
Muzy, Jean-François
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1613-1625
Persistent link: https://www.econbiz.de/10012194810
Saved in:
52
A switching microstructure model for stock prices
Hainaut, Donatien
;
Goutte, Stephane
- In:
Mathematics and financial economics
13
(
2019
)
3
,
pp. 459-490
Persistent link: https://www.econbiz.de/10012055865
Saved in:
53
A switching self-exciting jump diffusion process for stock prices
Hainaut, Donatien
;
Moraux, Franck
- In:
Annals of finance
15
(
2019
)
2
,
pp. 267-306
Persistent link: https://www.econbiz.de/10012058243
Saved in:
54
Optimal portfolio choice in a jump-diffusion model with self-exciting
Bian, Baojun
;
Chen, Xinfu
;
Zeng, Xudong
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 345-367
Persistent link: https://www.econbiz.de/10012210282
Saved in:
55
Hedging of options in the presence of jump clustering
Hainaut, Donatien
;
Moraux, Franck
- In:
The journal of computational finance
22
(
2018
)
3
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011988188
Saved in:
56
Point process models for extreme returns : harnessing implied volatility
Herrera, Rodrigo
;
Clements, Adam
- In:
Journal of banking & finance
88
(
2018
),
pp. 161-175
Persistent link: https://www.econbiz.de/10011962603
Saved in:
57
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:
58
Performance of information criteria for selection of
Hawkes
process
models of financial data
Chen, Jing
;
Hawkes, A. G.
;
Scalas, E.
;
Trinh, M.
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 225-235
Persistent link: https://www.econbiz.de/10011905908
Saved in:
59
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:
60
A generalized contagion process with an application to credit risk
Dassios, Angelos
;
Zhao, Hongbiao
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011686792
Saved in:
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