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Hawkes process : fast calibration, application to trade clustering, and diffuse limit

Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 34 (2014) 6, pp. 548-579

Persistent link: https://www.econbiz.de/10010371413

Clustering and mean reversion in a Hawkes microstructure model

Fonseca, José da; Zaatour, Riadh - In: The journal of futures markets 35 (2015) 9, pp. 813-838

Persistent link: https://www.econbiz.de/10011392661

Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market

Fonseca, José da; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Energy economics 56 (2016), pp. 215-228

Persistent link: https://www.econbiz.de/10011664232

A joint analysis of market indexes in credit default swap, volatility and stock markets

Fonseca, José da; Wang, Peiming - In: Applied economics 48 (2016) 19/21, pp. 1767-1784

Persistent link: https://www.econbiz.de/10011589737

Volatility spillovers and connectedness among credit default swap sector indexes

Fonseca, José da; Ignatieva, Ekaterina - In: Applied economics 50 (2018) 36, pp. 3923-3936

Persistent link: https://www.econbiz.de/10012060164

Cross-currency Heath-Jarrow-Morton framework in the multiple-curve setting

Gnoatto, Alessandro; Lavagnini, Silvia - 2023

Persistent link: https://www.econbiz.de/10014443581

Clustering and Mean Reversion in a Hawkes Microstructure Model

Da Fonseca, José - 2015

This paper provides explicit formulas for the first and second moments and the autocorrelation function of the number of jumps over a given interval for the multivariate Hawkes process. These computations are possible thanks to the affine property of this process. We unify the stock price models...

Persistent link: https://www.econbiz.de/10013033764