Investigating Impacts of Self-exciting Jumps in Returns and Volatility
Language: en
Pages:

Investigating Impacts of Self-exciting Jumps in Returns and Volatility

Authors: Andras Fulop
Categories:
Type: BOOK - Published: 2012 - Publisher:

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Testing for Self-exciting Jumps in Bitcoin Returns
Language: en
Pages: 27

Testing for Self-exciting Jumps in Bitcoin Returns

Authors: Chuanhai Zhang
Categories:
Type: BOOK - Published: 2020 - Publisher:

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Cryptocurrencies, especially Bitcoin (BTC), have drawn extraordinary worldwide attention. The characteristics of the BTC include a high level of speculation, ex
The Impact of Jumps in Volatility and Returns
Language: en
Pages: 47

The Impact of Jumps in Volatility and Returns

Authors: Michael S. Johannes
Categories:
Type: BOOK - Published: 2011 - Publisher:

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This paper examines a class of continuous-time models that incorporate jumps in returns and volatility, in addition to diffusive stochastic volatility. We devel
A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns
Language: en
Pages: 52

A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns

Authors: Donatien Hainaut
Categories:
Type: BOOK - Published: 2017 - Publisher:

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This paper introduces a new jump diffusion process where the occurrence and the size of past jumps have an impact on both the instantaneous and the long term pr
Modeling Financial Contagion Using Mutually Exciting Jump Processes
Language: en
Pages: 0

Modeling Financial Contagion Using Mutually Exciting Jump Processes

Authors: Yacine Aït-Sahalia
Categories: Economics
Type: BOOK - Published: 2010 - Publisher:

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Abstract: Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an increase in the likelihood of