Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits-Reference-Cited by-同舟云学术

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Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits

Published:2020-06 Issue: Volume:57 Page:52-70
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Ji Jingru,Wang Donghua,Xu Dinghai,Xu Chi

Funder

National Science Foundation of China

Shenwan Hongyuan Securities

Shanghai Post-doctoral Excellence Program

International Research Partnership Grant (IRPG) at University of Waterloo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference36 articles.

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

2. An extreme value approach to estimating interest-rate volatility: Pricing implications for interest-rate options;Bali;Manage. Sci.,2007

3. Jump tails, extreme dependencies, and the distribution of stock returns;Bollerslev;J. Econometrics,2013

4. Modelling security market events in continuous time: Intensity based, multivariate point process models;Bowsher;J. Econometrics,2007

5. A theory of price limits in futures markets;Brennan;J. Financ. Econ.,1986

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