Modelling systemic price cojumps with Hawkes factor models (Q4683069): Difference between revisions

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+Testing for jumps in a discretely observed process
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+No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
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+Modelling microstructure noise with mutually exciting point processes
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+Q5447122
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+Modelling Financial High Frequency Data Using Point Processes
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+A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
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+Risk, jumps, and diversification
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+Jump tails, extreme dependencies, and the distribution of stock returns
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+Modelling security market events in continuous time: intensity based, multivariate point process models
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+Financial econometric analysis at ultra-high frequency: Data handling concerns
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+Financial Modelling with Jump Processes
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+Threshold bipower variation and the impact of jumps on volatility forecasting
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+An Introduction to the Theory of Point Processes
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
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+Spectra of some self-exciting and mutually exciting point processes
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+Testing for common arrivals of jumps for discretely observed multidimensional processes
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+Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach
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+Simulation of nonhomogeneous Poisson processes with log linear rate function
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+The asymptotic behaviour of maximum likelihood estimators for stationary point processes
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+On Lewis' simulation method for point processes
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+Maximum likelihood estimation of Hawkes' self-exciting point processes
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+Q5598980
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