Related references
Note: Only part of the references are listed.Hawkes process modeling of COVID-19 with mobility leading indicators and spatial covariates
Wen-Hao Chiang et al.
INTERNATIONAL JOURNAL OF FORECASTING (2022)
Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model: Application to financial returns
Matthew F. Tomlinson et al.
PHYSICAL REVIEW E (2021)
Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection
Krzysztof Echaust et al.
MATHEMATICS (2020)
Looking at Extremes without Going to Extremes: A New Self-Exciting Probability Model for Extreme Losses in Financial Markets
Katarzyna Bien-Barkowska
ENTROPY (2020)
Forecast combinations for value at risk and expected shortfall
James W. Taylor
INTERNATIONAL JOURNAL OF FORECASTING (2020)
Forecasting the magnitude of the largest expected earthquake
Robert Shcherbakov et al.
NATURE COMMUNICATIONS (2019)
The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Spencer Wheatley et al.
QUANTITATIVE FINANCE (2019)
Self-exciting point process models for political conflict forecasting
N. Johnson et al.
EUROPEAN JOURNAL OF APPLIED MATHEMATICS (2018)
Hawkes processes and their applications to finance: a review
Alan G. Hawkes
QUANTITATIVE FINANCE (2018)
Improving social harm indices with a modulated Hawkes process
George Mohler et al.
INTERNATIONAL JOURNAL OF FORECASTING (2018)
Forecasting risk with Markov-switching GARCH models: A large-scale performance study
David Ardia et al.
INTERNATIONAL JOURNAL OF FORECASTING (2018)
Identifying exogenous and endogenous activity in social media
Kazuki Fujita et al.
PHYSICAL REVIEW E (2018)
Theory of nonstationary Hawkes processes
Neta Ravid Tannenbaum et al.
PHYSICAL REVIEW E (2017)
Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach
Marcello Rambaldi et al.
PHYSICAL REVIEW E (2015)
Modeling financial contagion using mutually exciting jump processes
Yacine Ait-Sahalia et al.
JOURNAL OF FINANCIAL ECONOMICS (2015)
Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes
Francine Gresnigt et al.
JOURNAL OF BANKING & FINANCE (2015)
Hawkes Processes in Finance
Emmanuel Bacry et al.
MARKET MICROSTRUCTURE AND LIQUIDITY (2015)
GANG RIVALRY DYNAMICS VIA COUPLED POINT PROCESS NETWORKS
M. B. Short et al.
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B (2014)
Modeling multivariate extreme events using self-exciting point processes
Oliver Grothe et al.
JOURNAL OF ECONOMETRICS (2014)
Copulas and time series with long-ranged dependencies
Remy Chicheportiche et al.
PHYSICAL REVIEW E (2014)
Branching-ratio approximation for the self-exciting Hawkes process
Stephen J. Hardiman et al.
PHYSICAL REVIEW E (2014)
Marked point process hotspot maps for homicide and gun crime prediction in Chicago
George Mohler
INTERNATIONAL JOURNAL OF FORECASTING (2014)
Critical reflexivity in financial markets: a Hawkes process analysis
Stephen J. Hardiman et al.
EUROPEAN PHYSICAL JOURNAL B (2013)
Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems
Jun-Jie Chen et al.
PLOS ONE (2013)
Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data
E. Bacry et al.
EUROPEAN PHYSICAL JOURNAL B (2012)
Recurrent interactions in spiking networks with arbitrary topology
Volker Pernice et al.
PHYSICAL REVIEW E (2012)
Quantifying reflexivity in financial markets: Toward a prediction of flash crashes
Vladimir Filimonov et al.
PHYSICAL REVIEW E (2012)
Multivariate Hawkes processes: an application to financial data
Paul Embrechts et al.
JOURNAL OF APPLIED PROBABILITY (2011)
Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
Amine Jalal et al.
JOURNAL OF EMPIRICAL FINANCE (2008)
Estimating value-at-risk: a point process approach
V Chavez-Demoulin et al.
QUANTITATIVE FINANCE (2005)
CAViaR: Conditional autoregressive value at risk by regression quantiles
RF Engle et al.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2004)