Pages that link to "Item:Q5697330"
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The following pages link to Estimating value-at-risk: a point process approach (Q5697330):
Displayed 24 items.
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Risk processes with non-stationary Hawkes claims arrivals (Q708785) (← links)
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm (Q1660145) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- A bivariate shot noise self-exciting process for insurance (Q2015619) (← links)
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
- Precise deviations for Hawkes processes (Q2214245) (← links)
- Modeling extreme negative returns using marked renewal Hawkes processes (Q2283055) (← links)
- Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
- Impact of volatility clustering on equity indexed annuities (Q2374129) (← links)
- Extreme-quantile tracking for financial time series (Q2451784) (← links)
- Modeling multivariate extreme events using self-exciting point processes (Q2511798) (← links)
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318) (← links)
- A dynamic contagion process (Q3173006) (← links)
- Large Deviations of Poisson Cluster Processes (Q3548758) (← links)
- A model for interest rates with clustering effects (Q4554210) (← links)
- Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (Q4554423) (← links)
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
- Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
- An estimation procedure for the Hawkes process (Q4555098) (← links)
- The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
- Modeling and predicting extreme cyber attack rates via marked point processes (Q5138726) (← links)
- Intensity‐based estimation of extreme loss event probability and value at risk (Q5414534) (← links)
- Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (Q5746742) (← links)