Limit-hitting exciting effects: Modeling jump dependencies in stock markets adhering to daily price-limit rules-Reference-Cited by-同舟云学术

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Limit-hitting exciting effects: Modeling jump dependencies in stock markets adhering to daily price-limit rules

Published:2024-06 Issue: Volume:163 Page:107184
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Chen Jian^ORCID,Qi Shuyuan^ORCID

Publisher

Elsevier BV

Reference50 articles.

1. Modeling financial contagion using mutually exciting jump processes;Aït-Sahalia;J. Financ. Econ.,2015

2. An empirical investigation of continuous-time equity return models;Andersen;J. Finance,2002

3. Investor sentiment and the cross-section of stock returns;Baker;J. Finance,2006

4. Investor sentiment in the stock market;Baker;J. Econ. Perspect.,2007

5. Maxing out: stocks as lotteries and the cross-section of expected returns;Bali;J. Financ. Econ.,2011

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