Point process models for extreme returns : harnessing implied volatility
R. Herrera, A.E. Clements
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Herrera, Rodrigo ; Clements, Adam |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 88.2018, p. 161-175
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| Subject: | Implied volatility | Hawkes process | Peaks over threshold | Point process | Extreme events | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2017.12.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011962603