A slightly depressing jump model: intraday volatility pattern simulation
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Cites work
- A cluster process representation of a self-exciting process
- A jump-diffusion model for option pricing
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 3832964 (Why is no real title available?)
- scientific article; zbMATH DE number 3378360 (Why is no real title available?)
- scientific article; zbMATH DE number 3413618 (Why is no real title available?)
- Jump-robust volatility estimation using nearest neighbor truncation
- Modelling security market events in continuous time: intensity based, multivariate point process models
- On Lewis' simulation method for point processes
- Option pricing when underlying stock returns are discontinuous
- Reactive point processes: a new approach to predicting power failures in underground electrical systems
- Space-time point-process models for earthquake occurrences
- Spectra of some self-exciting and mutually exciting point processes
- Stochastic processes. An introduction
- Testing for jumps in a discretely observed process
Cited in
(3)- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
- Editorial. A tribute to Professor Geoffrey Alan Hawkes (19 September 1938 -- 9 November 2023)
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