Narrow search
Showing 1 - 6 of 6
Cover Image
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
Cover Image
A new framework for examining creditworthiness of borrowers : the mover-stayer model with covariate and macroeconomic effects
Frydman, Halina; Matuszyk, Anna; Li, Chang; Zhu, Weicheng - In: Quantitative finance 21 (2021) 9, pp. 1491-1499
Persistent link: https://www.econbiz.de/10012624150
Cover Image
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
Cover Image
Robust and consistent estimation of generators in credit risk
Reis, Gonçalo dos; Smith, Greig - In: Quantitative finance 18 (2018) 6, pp. 983-1001
Persistent link: https://www.econbiz.de/10011911257
Cover Image
An extended likelihood framework for modelling discretely observed credit rating transitions
Pfeuffer, Marius; Möstel, Linda; Fischer, Matthias - In: Quantitative finance 19 (2019) 1, pp. 93-104
Persistent link: https://www.econbiz.de/10012194622
Cover Image
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