Exploiting spillovers to forecast crashes (Q4687652)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Exploiting spillovers to forecast crashes |
scientific article; zbMATH DE number 6952642
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Exploiting spillovers to forecast crashes |
scientific article; zbMATH DE number 6952642 |
Statements
Exploiting Spillovers to Forecast Crashes (English)
0 references
12 October 2018
0 references
Hawkes processes
0 references
extremal dependence
0 references
self-excitation
0 references
cross-excitation
0 references
asset returns
0 references
Lagrange multiplier test
0 references
0.7264119982719421
0 references
0.7190384268760681
0 references
0.7047295570373535
0 references
0.7038838267326355
0 references
0.6983155012130737
0 references
