In this paper we propose an overview of the recent academic literature devoted to the
applications of Hawkes processes in finance. Hawkes processes constitute a particular class …

We propose a class of observation‐driven time series models referred to as generalized
autoregressive score (GAS) models. The mechanism to update the parameters over time is …

A continuous time econometric modelling framework for multivariate financial market event
(or 'transactions') data is developed in which the model is specified via the vector conditional …

Tabellenanhang Page 1 Tabellenanhang In den folgenden Tabellen bedeutet der Eintrag 1,0
den exakten Wert 1 und ein Eintrag 1,0000 einen Wert, der auf 4 Nachkommastellen gerundet …

The paper describes a simple, generic and yet highly accurate efficient importance sampling
(EIS) Monte Carlo (MC) procedure for the evaluation of high-dimensional numerical …

We survey the modelling of financial markets transaction data characterized by irregular
spacing in time, in particular so-called financial durations. We begin by reviewing the …

We verify whether parameter-driven and observation-driven classes of dynamic models can
outperform each other in predicting time-varying parameters. We consider existing and new …

Acknowledgements: This survey paper on high-frequency data and high-frequency trading
is based on a review of the literature and conversations with 13 academics prominent in …

Speculation in the commodity futures market distorts commodity prices, driving them away
from rational levels. This phenomenon, which is known as the financialization of …

We propose a new class of observation driven time series models referred to as Generalized
Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled …