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A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
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Performance of information criteria for selection of Hawkes process models of financial data
Chen, Jing; Hawkes, A. G.; Scalas, E.; Trinh, M. - In: Quantitative finance 18 (2018) 2, pp. 225-235
Persistent link: https://www.econbiz.de/10011905908
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Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
Yang, Steve Y.; Liu, Anqi; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 295-310
Persistent link: https://www.econbiz.de/10011906342
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Dynamic patterns of daily lead-lag networks in stock markets
Li, Yongli; Liu, Chao; Wang, Tianchen; Sun, Baiqing - In: Quantitative finance 21 (2021) 12, pp. 2055-2068
Persistent link: https://www.econbiz.de/10012696814
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A neural network approach to understanding implied volatility movements
Cao, Jay; Chen, Jacky; Hull, John - In: Quantitative finance 20 (2020) 9, pp. 1405-1413
Persistent link: https://www.econbiz.de/10012295608
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Robust portfolios with commodities and stochastic interest rates
Chen, Junhe; Davison, Matt; Escobar, Marcos; Zafari, Golara - In: Quantitative finance 21 (2021) 6, pp. 991-1010
Persistent link: https://www.econbiz.de/10012515629