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Quantification of the high level of endogeneity and of structural regime shifts in commodity markets
Filimonov, Vladimir; Bicchetti, David; Maystre, Nicolas; … - In: Journal of international money and finance 42 (2014), pp. 174-192
Persistent link: https://www.econbiz.de/10010372668
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Testing for self-excitation in jumps
Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
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Good and bad self-excitation : asymmetric self-exciting jumps in Bitcoin returns
Zhang, Chuanhai; Zhang, Zhengjun; Xu, Mengyu; Peng, Zhe - In: Economic modelling 119 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014249483