Exploiting spillovers to forecast crashes

DOI10.1002/FOR.2434MaRDI QIDQ4687652zbMATH OpenOpenAlexFDO

Authors Francine Gresnigt, Erik Kole, Philip Hans Franses

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://papers.tinbergen.nl/15118.pdf

zbMATH Keywords

extremal dependenceHawkes processesLagrange multiplier testself-excitationasset returnscross-excitation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Recommendations

• Estimating value-at-risk: a point process approach
• Financial crashes as endogenous jumps: estimation, testing and forecasting
• Multivariate Hawkes processes: an application to financial data
• Classification of flash crashes using the Hawkes \(p,q\) framework
• Modeling multivariate extreme events using self-exciting point processes

Cited in

(3)

• Mini flash crashes: Review, taxonomy and policy responses
• Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
• Probabilistic forecasting of bubbles and flash crashes

This page was built for publication: Exploiting spillovers to forecast crashes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687652)