A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
DOI10.1007/S11009-018-9678-4zbMATH Open1447.60072OpenAlexW2805911785MaRDI QIDQ2176372FDOQ2176372
Griselda Deelstra, Donatien Hainaut
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
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Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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- Multivariate Hawkes processes: an application to financial data
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Lévy processes driven by stochastic volatility
- Risk processes with non-stationary Hawkes claims arrivals
- Bayesian inference for Hawkes processes
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- Strategic asset allocation with switching dependence
- A switching self-exciting jump diffusion process for stock prices
- A self-exciting switching jump diffusion: properties, calibration and hitting time
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