Hawkes processes in finance: market structure and impact-Reference-Cited by-同舟云学术

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Hawkes processes in finance: market structure and impact

Published:2022-05-03 Issue:7 Volume:28 Page:621-626
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Chen Jing¹^ORCID,Taylor Nick²,Yang Steve³,Han Qian⁴^ORCID

Affiliation:

1. School of Mathematics, Cardiff University, Cathays, UK

2. School of Accounting and Finance, University of Bristol, Bristol, UK

3. School of Business, Stevens Institute of Technology, Hoboken, NJ, USA

4. Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, People’s Republic of China

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2022.2060755

Reference33 articles.

1. Théorie de la spéculation

2. Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics

3. Power and Bipower Variation with Stochastic Volatility and Jumps

4. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Multiple stocks recommendation: a spatio-temporal hypergraph learning approach;Applied Intelligence;2024-04

2. Skewness and Option Prices under Stochastic Volatility Models: The Role of Shot-Noise Jumps;SSRN Electronic Journal;2024

3. Joint calibration of VIX and VXX options: does volatility clustering matter?;The European Journal of Finance;2023-12-30

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