Lucio Maria Calcagnile

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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Via Pietrasantina 123

Pisa, Pisa 56122

Italy

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Scholarly Papers (1)

1.

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
Downloads 151 (193,200)
Citation 7

Abstract:

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