Exploiting Spillovers to Forecast Crashes

DOI10.1002/for.2434zbMath1397.62535OpenAlexW2595966186MaRDI QIDQ4687652

Philip Hans Franses, Erik Kole, Francine Gresnigt

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

Hawkes processesLagrange multiplier testextremal dependenceself-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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