标题
Hawkes processes and their applications to finance: a review
作者
关键词
-
出版物
QUANTITATIVE FINANCE
Volume 18, Issue 2, Pages 193-198
出版商
Informa UK Limited
发表日期
2017-12-19
DOI
10.1080/14697688.2017.1403131
参考文献
相关参考文献
注意：仅列出部分参考文献，下载原文获取全部文献信息。- Contagion modeling between the financial and insurance markets with time changed processes
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- Clustered Lévy processes and their financial applications
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- Impact of volatility clustering on equity indexed annuities
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- Unknown
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- (2015) Thibault Jaisson et al. ANNALS OF APPLIED PROBABILITY
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- (2015) Aurélien Alfonsi et al. FINANCE AND STOCHASTICS
- Long-Time Behavior of a Hawkes Process--Based Limit Order Book
- (2015) Frédéric Abergel et al. SIAM Journal on Financial Mathematics
- Modeling multivariate extreme events using self-exciting point processes
- (2014) Oliver Grothe et al. JOURNAL OF ECONOMETRICS
- Mutual excitation in Eurozone sovereign CDS
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