A marked point process model for intraday financial returns : modeling extreme risk
Rodrigo Herrera, Adam Clements
| Year of publication: |
2020
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|---|---|
| Authors: | Herrera, Rodrigo ; Clements, Adam |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 58.2020, 4, p. 1575-1601
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| Subject: | Hawkes process | Peaks over threshold | Bid-ask spread | Extreme risk | High frequency | Volatilität | Volatility | Geld-Brief-Spanne | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Risiko | Risk | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-018-1600-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012219662