Hawkes Processes have been finding more applications in diverse areas of science, engineering and quantitative finance. In multi-frequency finance, various phenomena have been observed, such as shocks, crashes, volatility clustering, turbulent flows and contagion. Hawkes processes have been...

Most pricing and hedging models rely on the long run temporal stability of a sample covariance matrix. Using a large dataset of equity prices from four countries, the US, UK, Japan and Germany, we test the rolling stability of realized sample covariance matrices using two complementary...

We develop the Cox, Ingersoll and Ross (1985b) “technological uncertainty variable” in terms of a skewed Student “t” probability density with mean reverting sample paths and time varying volatility so that it can accommodate negative real interest rates. The Fokker-Planck equation is...