Modelling systemic price cojumps with Hawkes factor models

DOI10.1080/14697688.2014.996586zbMath1398.91506arXiv1301.6141MaRDI QIDQ4683069

Fabrizio Lillo, Stefano Marmi, Michele Treccani, Lucio M. Calcagnile, Fulvio Corsi, Giacomo Bormetti

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.6141

zbMATH Keywords

high frequency data; Hawkes processes; cojumps; systemic shocks

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

91G10: Portfolio theory