Pages that link to "Item:Q3094498"
From MaRDI portal
The following pages link to Multivariate Hawkes processes: an application to financial data (Q3094498):
Displaying 50 items.
- Direct Likelihood Evaluation for the Renewal Hawkes Process (Q109684) (← links)
- Accelerating the estimation of renewal Hawkes self-exciting point processes (Q109685) (← links)
- Likelihood based inference for the multivariate renewal Hawkes process (Q149025) (← links)
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) (← links)
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm (Q1660145) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- Integration by parts formulas for marked Hawkes processes (Q1726791) (← links)
- Self-exciting jump processes with applications to energy markets (Q1744711) (← links)
- Statistical inference for the doubly stochastic self-exciting process (Q1750090) (← links)
- A switching self-exciting jump diffusion process for stock prices (Q2000696) (← links)
- A Markov modulated dynamic contagion process with application to credit risk (Q2000733) (← links)
- A bivariate shot noise self-exciting process for insurance (Q2015619) (← links)
- Household lifetime strategies under a self-contagious market (Q2028777) (← links)
- Scalable Bayesian inference for self-excitatory stochastic processes applied to big American gunfire data (Q2029080) (← links)
- Averaging principles for Markovian models of plasticity (Q2034637) (← links)
- Cluster point processes and Poisson thinning INARMA (Q2121089) (← links)
- On the nonparametric inference of coefficients of self-exciting jump-diffusion (Q2154949) (← links)
- Infinite-server systems with Hawkes arrivals and Hawkes services (Q2167922) (← links)
- A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices (Q2176372) (← links)
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
- Nonparametric Bayesian estimation for multivariate Hawkes processes (Q2215756) (← links)
- Infinitely stochastic micro reserving (Q2234749) (← links)
- Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
- Generalized evolutionary point processes: model specifications and model comparison (Q2241636) (← links)
- Asymptotic distribution of the score test for detecting marks in Hawkes processes (Q2243558) (← links)
- Recursive computation of the Hawkes cumulants (Q2244575) (← links)
- Limit properties of continuous self-exciting processes (Q2273724) (← links)
- Modeling extreme negative returns using marked renewal Hawkes processes (Q2283055) (← links)
- Simultaneous multivariate Hawkes-type point processes and their application to financial markets (Q2329858) (← links)
- Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
- Reactive point processes: a new approach to predicting power failures in underground electrical systems (Q2349559) (← links)
- Impact of volatility clustering on equity indexed annuities (Q2374129) (← links)
- Contagion modeling between the financial and insurance markets with time changed processes (Q2397853) (← links)
- Some limit theorems for Hawkes processes and application to financial statistics (Q2447641) (← links)
- Extreme-quantile tracking for financial time series (Q2451784) (← links)
- Modeling multivariate extreme events using self-exciting point processes (Q2511798) (← links)
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment (Q2665846) (← links)
- Moment generating function of non-Markov self-excited claims processes (Q2665866) (← links)
- Asymptotic Inference for Jump Diffusions with State-Dependent Intensity (Q2815596) (← links)
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions (Q2968465) (← links)
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318) (← links)
- Affine Point Processes: Approximation and Efficient Simulation (Q3465933) (← links)
- A model for interest rates with clustering effects (Q4554210) (← links)
- Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (Q4554423) (← links)
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
- Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
