Modeling price and variance jump clustering using the marked Hawkes process
Jian Chen, Michael P Clements, and Andrew Urquhart
| Year of publication: |
2024
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|---|---|
| Authors: | Chen, Jian ; Clements, Michael P. ; Urquhart, Andrew |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 3, p. 743-772
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| Subject: | jump clustering | marked Hawkes process | stochastic volatility | high-frequency data | Bayesian inference | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Regionales Cluster | Regional cluster | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015045178