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Clusters of jumps, exponential Hawkes process, residual length of a cluster, conditional probability of a configuration of jumps, financial assets returns, truncation
financial assets returns, truncation, jumps, cluster of jumps, conditional probability of a jump, exponential Hawkes process
financial assets returns, truncation, clusters of jumps, conditional probability of a jump, exponential Hawkes process
jump cluster, cluster residual length, truncation, jump risk
volatility bursts, ARG-zero, option pricing, Kalman filter, realized volatility
Volatility Bursts, ARG-Zero, Option Pricing, Extended Kalman Filter, Realized Volatility
energy prices, crude oil, natural gas, Bayesian VAR, macroeconomic impacts, energy-producing, energy-intensive and non-energy-intensive sectors
households' financial savings, COVID-19, outliers, time-varying VAR
inflation expectations, inflation risk premia, monetary policy
Households' financial savingsCOVID-19outlierstime-varying VAR
