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)

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Cited in

(4)

• Mini flash crashes: Review, taxonomy and policy responses
• Financial market crash prediction through analysis of stable and Pareto distributions
• Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
• Probabilistic forecasting of bubbles and flash crashes

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