Pages that link to "Item:Q5697330"

The following pages link to Estimating value-at-risk: a point process approach (Q5697330):

Displaying 33 items.

• Direct Likelihood Evaluation for the Renewal Hawkes Process (Q109684) (← links)
• Accelerating the estimation of renewal Hawkes self-exciting point processes (Q109685) (← links)
• Spectral estimation of Hawkes processes from count data (Q128141) (← links)
• Clustered Lévy processes and their financial applications (Q515759) (← links)
• Risk processes with non-stationary Hawkes claims arrivals (Q708785) (← 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)
• A bivariate shot noise self-exciting process for insurance (Q2015619) (← links)
• Three-step risk inference in insurance ratemaking (Q2155833) (← links)
• Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
• Precise deviations for Hawkes processes (Q2214245) (← links)
• Modeling extreme negative returns using marked renewal Hawkes processes (Q2283055) (← links)
• Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
• Impact of volatility clustering on equity indexed annuities (Q2374129) (← links)
• Extreme-quantile tracking for financial time series (Q2451784) (← links)
• Modeling multivariate extreme events using self-exciting point processes (Q2511798) (← links)
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318) (← links)
• A dynamic contagion process (Q3173006) (← links)
• Large Deviations of Poisson Cluster Processes (Q3548758) (← 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)
• An estimation procedure for the Hawkes process (Q4555098) (← links)
• The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
• Mean-Variance Portfolio Selection in Contagious Markets (Q5071496) (← links)
• GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series (Q5092644) (← links)
• Modeling and predicting extreme cyber attack rates via marked point processes (Q5138726) (← links)
• Intensity‐based estimation of extreme loss event probability and value at risk (Q5414534) (← links)
• Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (Q5746742) (← links)
• A Conversation With Paul Embrechts (Q6064127) (← links)
• Hierarchy of temporal responses of multivariate self-excited epidemic processes (Q6135213) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)