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Modeling market fluctuations under investor sentiment with a Hawkes-Contact process
Zhang, Junhuan; Wen, Jiaqi; Chen, Jing - In: The European journal of finance 29 (2023) 1, pp. 17-32
Persistent link: https://www.econbiz.de/10014322445
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Valuing basket-spread options with default risk under Hawkes jump-diffusion processes
Li, Zelei; Tang, Dan; Wang, Xingchun - In: The European journal of finance 29 (2023) 12, pp. 1406-1431
Persistent link: https://www.econbiz.de/10014323018
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Hawkes processes in finance : market structure and impact
Chen, Jing; Taylor, Nicholas; Yang, Steve Y.; Han, Qian - In: The European journal of finance 28 (2022) 7, pp. 621-626
Persistent link: https://www.econbiz.de/10013373303
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Hawkes jump-diffusions and finance : a brief history and review
Hawkes, Alan G. - In: The European journal of finance 28 (2022) 7, pp. 627-641
Persistent link: https://www.econbiz.de/10013373304
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Hawkes model specification for limit order books
Kirchner, Matthias; Vetter, Silvan - In: The European journal of finance 28 (2022) 7, pp. 642-662
Persistent link: https://www.econbiz.de/10013373306
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The dynamics of price jumps in the stock market : an empirical study on Europe and U.S.
Ferriani, Fabrizio; Zoi, Patrick - In: The European journal of finance 28 (2022) 7, pp. 718-742
Persistent link: https://www.econbiz.de/10013373314
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Shock waves and golden shores : the asymmetric interaction between gold prices and the stock market
Buccioli, Alice; Kokholm, Thomas - In: The European journal of finance 28 (2022) 7, pp. 743-760
Persistent link: https://www.econbiz.de/10013373319
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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
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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
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Analyzing spillover effects from data breaches to the US (cyber) insurance industry
Eckert, Christian; Gatzert, Nadine; Schubert, Madeline - In: The European journal of finance 29 (2023) 6, pp. 669-692
Persistent link: https://www.econbiz.de/10014322547