Modelling systemic price cojumps with Hawkes factor models (Q4683069)
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scientific article; zbMATH DE number 6939276
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling systemic price cojumps with Hawkes factor models |
scientific article; zbMATH DE number 6939276 |
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Modelling systemic price cojumps with Hawkes factor models (English)
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19 September 2018
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cojumps
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Hawkes processes
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systemic shocks
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high frequency data
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