via Ridolfi 10
I-56100 Pisa, PI 56100
Italy
University of Pisa - Department of Economics
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
Stochastic Intensity, Self-Excitation, Inter-Arrival Times, Clusters
Expected utility paradoxes, Target-based preferences, Dependent target, Allais paradox, Preference reversal JEL Classification: C44, D81, C02, D90
Point Processes, Mixed Poisson Processes, Station Capacity, Availability of a Service, Posterior Mixing Distribution
