Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420): Difference between revisions

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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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+Modelling Financial High Frequency Data Using Point Processes
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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 systemic price cojumps with Hawkes factor models
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+Modelling security market events in continuous time: intensity based, multivariate point process models
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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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+Spectra of some self-exciting and mutually exciting point processes
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+The role of volume in order book dynamics: a multivariate Hawkes process analysis
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+Q5598980
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