Lucio Maria Calcagnile

Scuola Normale Superiore

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Modelling Systemic Price Cojumps with Hawkes Factor Models

Number of pages: 30 Posted: 31 Jan 2013 Last Revised: 12 Mar 2013
University of Bologna - Department of Mathematics, Scuola Normale Superiore, List Group, University of Pisa - Department of Economics, Scuola Normale Superiore and Università di Bologna
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Citation 11

Abstract:

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price cojumps, Hawkes processes, systemic shocks, high frequency data