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Modelling High-Frequency Oil Market Volatility and Investor Sentiment Using Hawkes and Contact Processes

Wen, Jiaqi; Zhang, Junhuan - 2022

We introduce the jump intensity and investor sentiment from the Hawkes and Contact processes to forecast Realized Range-based Volatility using high frequency intraday data. Investor sentiment factor is added to the benchmark models, which are Heterogeneous Auto-Regressive with Continuous...

Persistent link: https://www.econbiz.de/10014238664

Modelling High-Frequency Oil Market Volatility and Investor Sentiment Using Hawkes and Contact Processes

Wen, Jiaqi; Zhang, Junhuan - 2022

Persistent link: https://www.econbiz.de/10014238832

Modeling market fluctuations under investor sentiment with a Hawkes-Contact process

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Volatility analysis of financial agent-based market dynamics from stochastic contact system

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Linkages between global crude oil market volatility and financial market by complexity synchronization

Xing, Yani; Wang, Jun - In: Empirical economics : a journal of the Institute for … 59 (2020) 5, pp. 2405-2421

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