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Quantitative finance
European journal of operational research : EJOR
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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
Saved in:
2
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:
3
Robust portfolios with commodities and stochastic interest rates
Chen, Junhe
;
Davison, Matt
;
Escobar, Marcos
;
Zafari, Golara
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 991-1010
Persistent link: https://www.econbiz.de/10012515629
Saved in:
4
A neural network approach to understanding implied volatility movements
Cao, Jay
;
Chen, Jacky
;
Hull, John
- In:
Quantitative finance
20
(
2020
)
9
,
pp. 1405-1413
Persistent link: https://www.econbiz.de/10012295608
Saved in:
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