Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes-Reference-Cited by-同舟云学术

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Published:2021-02-04 Issue:5 Volume:21 Page:729-752
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Wehrli Alexander¹²,Wheatley Spencer¹,Sornette Didier¹³⁴⁵

Affiliation:

1. Department of Management, Technology and Economics, ETH Zurich, Zurich, Switzerland

2. Swiss National Bank*, Boersenstrasse 15, CH–8001 Zurich, Switzerland

3. Swiss Finance Institute, c/o University of Geneva, 40 blvd. Du Pont d'Arve CH–1211 Geneva 4, Geneva, Switzerland

4. Tokyo Tech World Research Hub Initiative, Institute of Innovative Research, Tokyo Institute of Technology, Tokyo, Japan

5. Institute of Risk Analysis, Prediction and Management (Risks-X), Academy for Advanced Interdisciplinary Studies, Southern University of Science and Technology (SUSTech), Shenzhen 518055, People's Republic of China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1838602

Reference70 articles.

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2. Intraday periodicity and volatility persistence in financial markets

3. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

4. Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

5. Some limit theorems for Hawkes processes and application to financial statistics

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