Exploiting Spillovers to Forecast Crashes (Q4687652)
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scientific article; zbMATH DE number 6952642
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exploiting Spillovers to Forecast Crashes |
scientific article; zbMATH DE number 6952642 |
Statements
Exploiting Spillovers to Forecast Crashes (English)
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12 October 2018
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Hawkes processes
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extremal dependence
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self-excitation
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cross-excitation
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asset returns
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Lagrange multiplier test
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