Exploiting spillovers to forecast crashes

DOI10.1002/FOR.2434zbMATH Open1397.62535OpenAlexW2595966186MaRDI QIDQ4687652FDOQ4687652

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

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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)

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

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