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High-frequency financial data modeling using Hawkes processes
11 references·14 citing·41 second hop
High-frequency financial data modeling using Hawkes processes (2012)High-frequency financial data modeling us…Modeling financial contagion using mutually exciting jump processes (2015)Modeling financial contagion …Affine Point Processes and Portfolio Credit Risk (2010)Affine Point Processes and Po…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Estimating value-at-risk: a point process approach (2005)Estimating value-at-risk: a p…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsModelling of extremal events in insurance and finance (1994)Modelling of extremal events …Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Estimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile (2024)An empirical review of dynami…Pricing variance swaps under the Hawkes jump‐diffusion process (2019)Pricing variance swaps under …Backtesting extreme value theory models of expected shortfall (2018)Backtesting extreme value the…RUSH! 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this work references cited by second hop

References

  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1987Estimating Tails of Probability Distributions627 cited
  • 2015Modeling financial contagion using mutually exciting jump processes576 cited
  • 2010Affine Point Processes and Portfolio Credit Risk373 cited
  • 2005Estimating value-at-risk: a point process approach187 cited

Cited by

  • 2014Extreme-quantile tracking for financial time series105 cited
  • 2014Statistics and Quantitative Risk Management for Banking and Insurance66 cited
  • 2017Pricing Vulnerable Options with Jump Clustering60 cited
  • 2016Modeling and predicting extreme cyber attack rates via marked point processes60 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015The limits of statistical significance of Hawkes processes fitted to financial data45 cited
  • 2019Pricing variance swaps under the Hawkes jump‐diffusion process35 cited
  • 2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model33 cited
  • 2017Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events33 cited
  • 2014The modeling and forecasting of extreme events in electricity spot markets31 cited
  • 2016A model for interest rates with clustering effects31 cited
  • 2017Point process models for extreme returns: Harnessing implied volatility31 cited
  • 2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile30 cited
  • 2018Backtesting extreme value theory models of expected shortfall27 cited
  • 2017RUSH!13 cited