Estimating value-at-risk: a point process approach
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Cites work
- Estimation of a biometric function
- Extremal Analysis of Processes Sampled at Different Frequencies
- Inference for Clusters of Extreme Values
- Maximum likelihood estimation in a class of nonregular cases
- On a basis for peaks over threshold modeling
- Realistic Statistical Modelling of Financial Data
- Statistical inference using extreme order statistics
Cited in
(64)- Extremal financial risk models and portfolio evaluation
- Direct Likelihood Evaluation for the Renewal Hawkes Process
- Accelerating the estimation of renewal Hawkes self-exciting point processes
- Spectral estimation of Hawkes processes from count data
- Measuring value at risk with an extremal process
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm
- The microstructural foundations of leverage effect and rough volatility
- Marked point process adjusted tail dependence analysis for high-frequency financial data
- A bivariate shot noise self-exciting process for insurance
- Three-step risk inference in insurance ratemaking
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
- Precise deviations for Hawkes processes
- Forecasting value-at-risk with a duration-based POT method
- Modeling extreme negative returns using marked renewal Hawkes processes
- Limit theorems for nearly unstable Hawkes processes
- Impact of volatility clustering on equity indexed annuities
- Extreme-quantile tracking for financial time series
- Modeling multivariate extreme events using self-exciting point processes
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK
- Practical problems of risk estimation in the analysis of daily time series
- A dynamic contagion process
- Return and Value at Risk using the Dirichlet Process
- Large Deviations of Poisson Cluster Processes
- A model for interest rates with clustering effects
- Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
- Constant proportion portfolio insurance strategies in contagious markets
- An estimation procedure for the Hawkes process
- DPOT methodology: an application to value-at-risk
- scientific article; zbMATH DE number 2152221 (Why is no real title available?)
- Exploiting spillovers to forecast crashes
- The limits of statistical significance of Hawkes processes fitted to financial data
- Mean-variance portfolio selection in contagious markets
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- Modeling and predicting extreme cyber attack rates via marked point processes
- Clustered Lévy processes and their financial applications
- Financial models of interaction based on marked point processes and Gaussian fields
- Intensity-based estimation of extreme loss event probability and value at risk
- Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
- A Conversation With Paul Embrechts
- Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process
- Hierarchy of temporal responses of multivariate self-excited epidemic processes
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing
- Forecasting extreme negative returns in gold and silver: a discrete-duration approach to POT models
- Cyber risk modeling: a discrete multivariate count process approach
- Diffusion approximations for self-excited systems with applications to general branching processes
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
- A self-exciting marked point process model for drought analysis
- Risk Analysis via Generalized Pareto Distributions
- Tempered fractional Hawkes process and its generalizations
- On the Hawkes process with different exciting functions
- Editorial. A tribute to Professor Geoffrey Alan Hawkes (19 September 1938 -- 9 November 2023)
- Tail asymptotics and precise large deviations for some Poisson cluster processes
- Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration
- Risk processes with non-stationary Hawkes claims arrivals
- Mutually Exciting Point Processes with Latency
- Hawkes process with tempered Mittag-Leffler kernel
- From scarcity to insight: extreme events analysis with a partially linear single-index varying-coefficient model in high-dimensional settings
- Mean-field limits for nearly unstable Hawkes processes
- Precise deviations for discrete marked Hawkes processes
- Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter
- Bayesian modelling of clustered extreme events using a nonparametric Hawkes process
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