Probabilistic framework for modeling event shocks to financial time series
Author:
Affiliation:
1. MIT-IBM Watson AI Lab
2. Massachusetts Institute of Technology
3. IBM Research
4. Three Bridges Capital
Funder
MIT-IBM Watson AI Lab
Refinitiv - LSEG
Wells Fargo
Publisher
ACM
Link
https://dl.acm.org/doi/pdf/10.1145/3490354.3494407
Reference25 articles.
1. O. O. Aalen O. Borgan and H. K. Gjessing. 2008. Survival and Event History Analysis: A Process Point of View. Springer Science & Business Media New York NY USA. O. O. Aalen O. Borgan and H. K. Gjessing. 2008. Survival and Event History Analysis: A Process Point of View. Springer Science & Business Media New York NY USA.
2. Modeling financial contagion using mutually exciting jump processes
3. Hawkes Processes in Finance
4. Multivariate GARCH models: a survey
5. D. Bhattacharjya D. Subramanian and T. Gao. 2018. Proximal graphical event models. In Advances in Neural Information Processing Systems. Montreal Canada 8136--8145. D. Bhattacharjya D. Subramanian and T. Gao. 2018. Proximal graphical event models. In Advances in Neural Information Processing Systems. Montreal Canada 8136--8145.
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