Alpha-CIR model with branching processes in sovereign interest rate modeling

Distributions of jumps in a continuous-state branching process with immigration

(2016) Xin He et al.   JOURNAL OF APPLIED PROBABILITY

A dynamic contagion process

(2016) Angelos Dassios et al.   ADVANCES IN APPLIED PROBABILITY

Limit theorems for nearly unstable Hawkes processes

(2015) Thibault Jaisson et al.   ANNALS OF APPLIED PROBABILITY

Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach

(2015) Marcello Rambaldi et al.   PHYSICAL REVIEW E

Asymptotic properties of estimators in a stable Cox–Ingersoll–Ross model

(2015) Zenghu Li et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

On the hitting times of continuous-state branching processes with immigration

(2014) Xan Duhalde et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Stochastic equations, flows and measure-valued processes

(2012) Donald A. Dawson et al.   ANNALS OF PROBABILITY

On the limit distributions of continuous-state branching processes with immigration

(2012) Martin Keller-Ressel et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Affine Point Processes and Portfolio Credit Risk

(2011) Eymen Errais et al.   SIAM Journal on Financial Mathematics

Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity

(2011) Damir Filipović et al.   SIAM Journal on Financial Mathematics

Estimating the degree of activity of jumps in high frequency data

(2009) Yacine Aït-Sahalia et al.   ANNALS OF STATISTICS

Exponentially affine martingales, affine measure changes and exponential moments of affine processes

(2009) Jan Kallsen et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Stochastic equations of non-negative processes with jumps

(2009) Zongfei Fu et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

(2008) Martin Keller-Ressel et al.   FINANCE AND STOCHASTICS