Exploiting Spillovers to forecast Crashes
Year of publication: |
2015
|
---|---|
Authors: | Gresnigt, Francine ; Kole, Erik ; Franses, Philip Hans |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Hawkes processes | extremal dependence | Value-at-Risk | financial crashes | spillover |
Series: | Tinbergen Institute Discussion Paper ; 15-118/III |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 83825070X [GVK] hdl:10419/125113 [Handle] RePEc:tin:wpaper:20150118 [RePEc] |
Classification: | G01 - Financial Crises ; G17 - Financial Forecasting |
Source: |
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Exploiting spillovers to forecast crashes
Gresnigt, Francine, (2015)
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Exploiting spillovers to forecast crashes
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BUBBLES AND CRASHES IN FINANCE: A PHASE TRANSITION FROM RANDOM TO DETERMINISTIC BEHAVIOUR IN PRICES
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Gresnigt, Francine, (2014)
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