Francine Gresnigt

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

488

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Interpreting Financial Market Crashes as Earthquakes: A New Early Warning System for Medium Term Crashes

Tinbergen Institute Discussion Paper 14-067/III
Number of pages: 48 Posted: 24 Jul 2014
Francine Gresnigt, Erik Kole and Philip Hans Franses
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 281 (199,579)
Citation 3

Abstract:

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Financial crashes, Hawkes process, self-exciting process, Early Warning System

2.

Exploiting Spillovers to Forecast Crashes

Tinbergen Institute Discussion Paper 15-118/III
Number of pages: 37 Posted: 24 Oct 2015
Francine Gresnigt, Erik Kole and Philip Hans Franses
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 113 (442,582)

Abstract:

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Hawkes processes, extremal dependence, Value-at-Risk, financial crashes, spillover

3.

Specification Testing in Hawkes Models

Tinbergen Institute Discussion Paper 15-086/III
Number of pages: 38 Posted: 25 Jul 2015 Last Revised: 09 Sep 2015
Francine Gresnigt, Erik Kole and Philip Hans Franses
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 94 (503,030)
Citation 2

Abstract:

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Hawkes processes, specification tests, extremal dependence, financial crashes