Exploiting spillovers to forecast crashes (Q4687652)
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scientific article; zbMATH DE number 6952642
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Exploiting spillovers to forecast crashes |
scientific article; zbMATH DE number 6952642 |
Statements
Exploiting Spillovers to Forecast Crashes (English)
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12 October 2018
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Hawkes processes
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extremal dependence
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self-excitation
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cross-excitation
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asset returns
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Lagrange multiplier test
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0.7264119982719421
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0.7190384268760681
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0.7047295570373535
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0.7038838267326355
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0.6983155012130737
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