4.6 Article

2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models

Related references

Note: Only part of the references are listed.
Article Economics

Hawkes process modeling of COVID-19 with mobility leading indicators and spatial covariates

Wen-Hao Chiang et al.

Summary: Hawkes processes with spatial-temporal covariates are used to develop accurate models of COVID-19 transmission. The models outperform other approaches in short-term and longterm forecasting tasks and identify important covariates and mobility indices for building COVID-19 forecasts.

INTERNATIONAL JOURNAL OF FORECASTING (2022)

Article Physics, Fluids & Plasmas

Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model: Application to financial returns

Matthew F. Tomlinson et al.

Summary: The study found that extreme losses and gains in the daily log-returns of the S&P 500 equity index exhibit asymmetric behaviors. While losses contribute twice as much as gains, the contribution of losses decays almost five times more quickly than gains.

PHYSICAL REVIEW E (2021)

Article Economics

Forecast combinations for value at risk and expected shortfall

James W. Taylor

INTERNATIONAL JOURNAL OF FORECASTING (2020)

Article Multidisciplinary Sciences

Forecasting the magnitude of the largest expected earthquake

Robert Shcherbakov et al.

NATURE COMMUNICATIONS (2019)

Article Business, Finance

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Spencer Wheatley et al.

QUANTITATIVE FINANCE (2019)

Article Mathematics, Applied

Self-exciting point process models for political conflict forecasting

N. Johnson et al.

EUROPEAN JOURNAL OF APPLIED MATHEMATICS (2018)

Review Business, Finance

Hawkes processes and their applications to finance: a review

Alan G. Hawkes

QUANTITATIVE FINANCE (2018)

Article Economics

Improving social harm indices with a modulated Hawkes process

George Mohler et al.

INTERNATIONAL JOURNAL OF FORECASTING (2018)

Article Economics

Forecasting risk with Markov-switching GARCH models: A large-scale performance study

David Ardia et al.

INTERNATIONAL JOURNAL OF FORECASTING (2018)

Article Physics, Fluids & Plasmas

Identifying exogenous and endogenous activity in social media

Kazuki Fujita et al.

PHYSICAL REVIEW E (2018)

Article Physics, Fluids & Plasmas

Theory of nonstationary Hawkes processes

Neta Ravid Tannenbaum et al.

PHYSICAL REVIEW E (2017)

Article Physics, Fluids & Plasmas

Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach

Marcello Rambaldi et al.

PHYSICAL REVIEW E (2015)

Article Business, Finance

Modeling financial contagion using mutually exciting jump processes

Yacine Ait-Sahalia et al.

JOURNAL OF FINANCIAL ECONOMICS (2015)

Article Business, Finance

Interpreting financial market crashes as earthquakes: A new Early Warning System for medium term crashes

Francine Gresnigt et al.

JOURNAL OF BANKING & FINANCE (2015)

Article Economics

Hawkes Processes in Finance

Emmanuel Bacry et al.

MARKET MICROSTRUCTURE AND LIQUIDITY (2015)

Article Mathematics, Applied

GANG RIVALRY DYNAMICS VIA COUPLED POINT PROCESS NETWORKS

M. B. Short et al.

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B (2014)

Article Economics

Modeling multivariate extreme events using self-exciting point processes

Oliver Grothe et al.

JOURNAL OF ECONOMETRICS (2014)

Article Physics, Fluids & Plasmas

Copulas and time series with long-ranged dependencies

Remy Chicheportiche et al.

PHYSICAL REVIEW E (2014)

Article Physics, Fluids & Plasmas

Branching-ratio approximation for the self-exciting Hawkes process

Stephen J. Hardiman et al.

PHYSICAL REVIEW E (2014)

Article Economics

Marked point process hotspot maps for homicide and gun crime prediction in Chicago

George Mohler

INTERNATIONAL JOURNAL OF FORECASTING (2014)

Article Physics, Condensed Matter

Critical reflexivity in financial markets: a Hawkes process analysis

Stephen J. Hardiman et al.

EUROPEAN PHYSICAL JOURNAL B (2013)

Article Multidisciplinary Sciences

Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems

Jun-Jie Chen et al.

PLOS ONE (2013)

Article Physics, Condensed Matter

Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

E. Bacry et al.

EUROPEAN PHYSICAL JOURNAL B (2012)

Article Physics, Fluids & Plasmas

Recurrent interactions in spiking networks with arbitrary topology

Volker Pernice et al.

PHYSICAL REVIEW E (2012)

Article Physics, Fluids & Plasmas

Quantifying reflexivity in financial markets: Toward a prediction of flash crashes

Vladimir Filimonov et al.

PHYSICAL REVIEW E (2012)

Article Statistics & Probability

Multivariate Hawkes processes: an application to financial data

Paul Embrechts et al.

JOURNAL OF APPLIED PROBABILITY (2011)

Article Business, Finance

Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data

Amine Jalal et al.

JOURNAL OF EMPIRICAL FINANCE (2008)

Article Business, Finance

Estimating value-at-risk: a point process approach

V Chavez-Demoulin et al.

QUANTITATIVE FINANCE (2005)

Article Economics

CAViaR: Conditional autoregressive value at risk by regression quantiles

RF Engle et al.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2004)