Modeling price and variance jump clustering using the marked Hawkes process
Year of publication: |
2024
|
---|---|
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
|
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 |
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