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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
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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
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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