Point process models for extreme returns : harnessing implied volatility
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
|
Subject: | Implied volatility | Hawkes process | Peaks over threshold | Point process | Extreme events | Theorie | Theory | Volatilität | Volatility | Börsenkurs | Share price |
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