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ArticleHigh-frequency financial data modeling using Hawkes processes

Valérie Chavez‐Demoulin2012

Article2012

High-frequency financial data modeling using Hawkes processes

Valérie Chavez‐Demoulin · J.A. McGill

153 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

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References

1994Modelling of extremal events in insurance and finance 1998Evaluating Interval Forecasts 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1990Models for Exceedances Over High Thresholds 2001An Introduction to High-Frequency Finance 1987Estimating Tails of Probability Distributions

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2014Extreme-quantile tracking for financial time series 2014Statistics and Quantitative Risk Management for Banking and Insurance 2017Pricing Vulnerable Options with Jump Clustering 2016Modeling and predicting extreme cyber attack rates via marked point processes 2015The limits of statistical significance of Hawkes processes fitted to financial data 2019Pricing variance swaps under the Hawkes jump‐diffusion process

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Year2012

Typearticle

Published2012-08-23

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations153

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2012.08.011

openalex_workW2041908999

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2017Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events

2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model