A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices

DOI10.1007/S11009-018-9678-4MaRDI QIDQ2176372zbMATH OpenOpenAlexFDO

Authors Donatien Hainaut, Griselda Deelstra

Publication date 4 May 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/280670/3/HD_BMESJD.pdf

zbMATH Keywords

jump-diffusionsswitching processself-excited process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40) Martingales and classical analysis (60G46)

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Cites work

• scientific article; zbMATH DE number 3378360 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A reduced-form model for correlated defaults with regime-switching shot noise intensities
• A self-exciting switching jump diffusion: properties, calibration and hitting time
• A switching self-exciting jump diffusion process for stock prices
• Bayesian inference for Hawkes processes
• Lévy processes driven by stochastic volatility
• Multivariate Hawkes processes: an application to financial data
• Optimal portfolio choice for unobservable and regime-switching mean returns
• Risk processes with non-stationary Hawkes claims arrivals
• Strategic asset allocation with switching dependence

Cited in

(5)

• Moments for Hawkes processes with gamma decay kernel functions
• Multivariate Hawkes process allowing for common shocks
• A mutually exciting rough jump-diffusion for financial modelling
• Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
• Modelling asynchronous assets with jump-diffusion processes

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