Inference on self‐exciting jumps in prices and volatility using high‐frequency measures
W Maneesoonthorn, CS Forbes… - Journal of Applied …, 2017 - Wiley Online Library
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes
process in conjunction with a bivariate jump diffusion. A state‐space representation is used …
process in conjunction with a bivariate jump diffusion. A state‐space representation is used …
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
W Maneesoonthorn, CS Forbes, GM Martin - bridges.monash.edu
This paper investigates the dynamic behaviour of jumps in financial prices and volatility. The
proposed model is based on a standard jump diffusion process for price and volatility …
proposed model is based on a standard jump diffusion process for price and volatility …
INFERENCE ON SELF-EXCITING JUMPS IN PRICES AND VOLATILITY USING HIGH-FREQUENCY MEASURES
W MANEESOONTHORN, CS FORBES… - Journal of Applied …, 2017 - JSTOR
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes
process in conjunction with a bivariate jump diffusion. A state-space representation is used …
process in conjunction with a bivariate jump diffusion. A state-space representation is used …
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures
W Maneesoonthorn, CS Forbes… - Journal of Applied …, 2017 - ideas.repec.org
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes
process in conjunction with a bivariate jump diffusion. A state space representation is used …
process in conjunction with a bivariate jump diffusion. A state space representation is used …
[PDF][PDF] Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
W Maneesoonthorn, CS Forbes, GM Martin - 2016 - scholar.archive.org
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes
process in conjunction with a bivariate jump diffusion. A state space representation is used …
process in conjunction with a bivariate jump diffusion. A state space representation is used …
[PDF][PDF] Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
W Maneesoonthorn, CS Forbes, GM Martin - 2013 - monash.edu
This paper investigates the dynamic behaviour of jumps in financial prices and volatility. The
proposed model is based on a standard jump diffusion process for price and volatility …
proposed model is based on a standard jump diffusion process for price and volatility …
[PDF][PDF] INFERENCE ON SELF-EXCITING JUMPS IN PRICES AND VOLATILITY USING HIGH-FREQUENCY MEASURES
W MANEESOONTHORN, CS FORBES, GM MARTIN - minerva-access.unimelb.edu.au
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes
process in conjunction with a bivariate jump diffusion. A state-space representation is used …
process in conjunction with a bivariate jump diffusion. A state-space representation is used …
Inference on Self-Exciting Jumps in Prices and Volatility Using High-Frequency Measures.
W Maneesoonthorn, CS Forbes… - Journal of Applied …, 2017 - search.ebscohost.com
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes
process in conjunction with a bivariate jump diffusion. A state-space representation is used …
process in conjunction with a bivariate jump diffusion. A state-space representation is used …
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
W Maneesoonthorn, CS Forbes, GM Martin - arXiv e-prints, 2014 - ui.adsabs.harvard.edu
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes
process in conjunction with a bivariate jump diffusion. A state space representation is used …
process in conjunction with a bivariate jump diffusion. A state space representation is used …
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
W Maneesoonthorn, C Forbes, G Martin - 2013 - econpapers.repec.org
This paper investigates the dynamic behaviour of jumps in financial prices and volatility. The
proposed model is based on a standard jump diffusion process for price and volatility …
proposed model is based on a standard jump diffusion process for price and volatility …