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~type_genre:"Aufsatz in Zeitschrift"
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Hawkes process
65
Theorie
40
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40
Börsenkurs
30
Share price
30
Stochastic process
30
Stochastischer Prozess
30
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Aufsatz in Zeitschrift
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Hainaut, Donatien
7
Chen, Jing
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Dassios, Angelos
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3
Herrera, Rodrigo
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Jang, Jiwook
3
Lee, Kyungsub
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Ma, Yong
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Seo, Byoung Ki
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3
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3
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Zhao, Hongbiao
3
Aït-Sahalia, Yacine
2
Bacry, Emmanuel
2
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2
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Li, Shuanming
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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
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Finance research letters
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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European journal of operational research : EJOR
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International review of economics & finance : IREF
1
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1
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Review of Pacific Basin financial markets and policies
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ECONIS (ZBW)
79
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1
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Saved in:
2
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
Saved in:
3
Portfolio liquidation games with self-exciting order flow
Fu, Guanxing
;
Horst, Ulrich
;
Xia, Xiaonyu
- In:
Mathematical finance : an international journal of …
32
(
2022
)
4
,
pp. 1020-1065
Persistent link: https://www.econbiz.de/10013463387
Saved in:
4
Quantifying endogeneity of cryptocurrency markets
Mark, Michael
;
Sila, Jan
;
Weber, Thomas A.
- In:
The European journal of finance
28
(
2022
)
7
,
pp. 784-799
Persistent link: https://www.econbiz.de/10013373337
Saved in:
5
Revisiting the puzzle of jumps in volatility forecasting : the new insights of high-frequency jump intensity
Qu, Hui
;
Wang, Tianyang
;
Shangguan, Peng
;
He, Mengying
- In:
The journal of futures markets
44
(
2024
)
2
,
pp. 218-251
Persistent link: https://www.econbiz.de/10014475461
Saved in:
6
The valuation of arithmetic Asian options with mean reversion and jump clustering
Song, Shiyu
- In:
The North American journal of economics and finance : a …
70
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014491975
Saved in:
7
A
Hawkes
process
analysis of high-frequency price endogeneity and market efficiency
Zhuo, Jingbin
;
Chen, Yufan
;
Zhou, Bang
;
Lang, Baiming
; …
- In:
The European journal of finance
30
(
2024
)
9
,
pp. 949-979
Persistent link: https://www.econbiz.de/10014548011
Saved in:
8
Characterizing military medical evacuation dispatching and delivery policies via a self-exciting spatio-temporal
Hawkes
process
model
Frial, Virbon B.
;
Jenkins, Phillip R.
;
Robbins, Matthew J.
- In:
Journal of the Operational Research Society
75
(
2024
)
7
,
pp. 1239-1260
Persistent link: https://www.econbiz.de/10014555905
Saved in:
9
Research on the efficacy of the iVIX index based on VIX pricing
Huang, Wenli
;
Zhang, Nan
;
Chen, Yong
;
Xu, Yueling
- In:
Emerging markets, finance & trade : a journal of the …
60
(
2024
)
8
,
pp. 1670-1690
Persistent link: https://www.econbiz.de/10014567103
Saved in:
10
Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike
;
Hainaut, Donatien
- In:
Annals of finance
20
(
2024
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10014566365
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