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Modelling systemic price cojumps with Hawkes factor models

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  1. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2021. "Cojump risks and their impacts on option pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 399-410.
  2. Elie Bouri & Rangan Gupta & Xuan Vinh Vo, 2022. "Jumps in Geopolitical Risk and the Cryptocurrency Market: The Singularity of Bitcoin," Defence and Peace Economics, Taylor & Francis Journals, vol. 33(2), pages 150-161, February.
  3. Turiel, Jeremy D. & Aste, Tomaso, 2022. "Heterogeneous criticality in high frequency finance: a phase transition in flash crashes," LSE Research Online Documents on Economics 113892, London School of Economics and Political Science, LSE Library.
  4. Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017. "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 186-210.
  5. Arouri, Mohamed & M’saddek, Oussama & Pukthuanthong, Kuntara, 2019. "Jump risk premia across major international equity markets," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 1-21.
  6. Arouri, Mohamed & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2019. "Cojumps and asset allocation in international equity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 98(C), pages 1-22.
  7. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
  8. Gabriele Ranco & Ilaria Bordino & Giacomo Bormetti & Guido Caldarelli & Fabrizio Lillo & Michele Treccani, 2016. "Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics," PLOS ONE, Public Library of Science, vol. 11(1), pages 1-14, January.
  9. Lian, Yu-Min & Chen, Jun-Home, 2020. "Joint dynamic modeling and option pricing in incomplete derivative-security market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  10. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Working Papers hal-02998555, HAL.
  11. Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo, 2016. "Detection of intensity bursts using Hawkes processes: an application to high frequency financial data," Papers 1610.05383, arXiv.org.
  12. Fabio Vanni & David Lambert, 2023. "A detection analysis for temporal memory patterns at different time-scales," Papers 2309.12034, arXiv.org.
  13. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
  14. Mazzarisi, Piero & Zaoli, Silvia & Campajola, Carlo & Lillo, Fabrizio, 2020. "Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
  15. Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi, 2017. "Analysis of order book flows using a nonparametric estimation of the branching ratio matrix," Papers 1706.03411, arXiv.org.
  16. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
  17. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  18. Hui Qu & Tianyang Wang & Peng Shangguan & Mengying He, 2024. "Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 218-251, February.
  19. Fan, Lina & Yang, Hao & Zhai, Jia & Zhang, Xiaotao, 2023. "Forecasting stock volatility during the stock market crash period: The role of Hawkes process," Finance Research Letters, Elsevier, vol. 55(PA).
  20. Hai-Chuan Xu & Wei-Xing Zhou, 2020. "Modeling aggressive market order placements with Hawkes factor models," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-12, January.
  21. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.
  22. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
  23. Declan French, 2023. "From financial wealth shocks to ill‐health: Allostatic load and overload," Health Economics, John Wiley & Sons, Ltd., vol. 32(4), pages 939-952, April.
  24. Piero Mazzarisi & Silvia Zaoli & Carlo Campajola & Fabrizio Lillo, 2020. "Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages," Papers 2005.01160, arXiv.org, revised May 2021.
  25. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
  26. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  27. Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
  28. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
  29. Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao, 2022. "Characterizing financial crises using high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 22(4), pages 743-760, April.
  30. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.
  31. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
  32. Li, Zhenghui & Chen, Liming & Dong, Hao, 2021. "What are bitcoin market reactions to its-related events?," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 1-10.
  33. Ma, Feng & Zhang, Yaojie & Huang, Dengshi & Lai, Xiaodong, 2018. "Forecasting oil futures price volatility: New evidence from realized range-based volatility," Energy Economics, Elsevier, vol. 75(C), pages 400-409.
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