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1. A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup.
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2. Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE.
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3. CDS Pricing with Fractional Hawkes Processes. (2021). Hainaut, Donatien ; Ketelbuters, John John.
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4. Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks. (2019). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying.
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5. Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T.
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6. Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius.
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7. Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
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8. Systemic risk in a mean-field model of interbank lending with self-exciting shocks. (2018). Pascucci, Andrea ; la Rovere, Stefano ; Borovykh, Anastasia.
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9. Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
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10. Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime .
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11. Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann.
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12. A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK. (2017). Dassios, Angelos ; Zhao, Hongbiao.
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13. Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Scotti, Simone ; Ma, Chunhua ; Jiao, Ying.
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14. Contagion in cyber security attacks. (2017). Baldwin, Adrian ; Williams, Julian ; Pym, David ; Ioannidis, Christos ; Gheyas, Iffat .
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15. Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
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16. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
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17. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe.
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18. A generalised contagion process with an application to credit risk. (2017). Zhao, Hongbiao ; Dassios, Angelos.
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19. Joint tests of contagion with applications to financial crises. (2017). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee.
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20. From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2017). Henkel, Christof .
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21. News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana.
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22. An analysis of simultaneous company defaults using a shot noise process. (2017). Egami, M ; Kevkhishvili, R.
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23. Contagion modeling between the financial and insurance markets with time changed processes. (2017). Hainaut, Donatien.
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24. Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard .
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25. Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem.
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26. Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi.
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27. Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. (2017). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Gamba-Santamaria, Santiago ; Hurtado-Guarin, Jorge Luis .
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28. How has sovereign bond market liquidity changed? An illiquidity spillover analysis. (2016). Pelizzon, Loriana ; Schneider, Michael ; Lillo, Fabrizio.
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29. Systemic risk: Time-lags and persistence. (2016). Gründl, Helmut ; Kubitza, Christian ; Grundl, Helmut.
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30. Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies. (2016). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
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31. International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Solnik, Bruno ; Watewai, Thaisiri .
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32. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
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33. Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Jiao, Ying ; Scotti, Simone ; Ma, Chunhua.
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34. Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, Jiří ; Ficura, Milan .
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35. Contagion effects in selected European capital markets during the financial crisis of 2007–2009. (2016). Burzala, Milda.
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36. Hawkes-diffusion process and the conditional probability of defaults in the Eurozone. (2016). Park, Yuen Jung ; Ryu, Doojin ; Kim, Jungmu.
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37. Impact of volatility clustering on equity indexed annuities. (2016). Hainaut, Donatien.
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38. The 2011 European short sale ban: A cure or a curse?. (2016). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz .
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39. On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu.
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42. The Moderating Role of Loan Monitoring on the Relationship between Macroeconomic Variables and Non-performing Loans in Association of Southeast Asian Nations Countries. (2016). Idris, Ismail Tijjani ; Nayan, Sabri.
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43. A New Set of Financial Instruments. (2016). Rachev, T ; Fabozzi, Frank J.
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44. From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2016). Henkel, Christof .
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45. The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa .
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46. Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling. (2016). Scotti, Simone ; Jiao, Ying ; Ma, Chunhua.
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47. Multivariate dynamic intensity peaks-over-threshold models. (2015). Herrera, Rodrigo ; Hautsch, Nikolaus.
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48. Exploiting Spillovers to forecast Crashes. (2015). Kole, Erik ; Franses, Philip Hans ; Gresnigt, Francine.
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49. Cojumps in Chinas spot and stock index futures markets. (2015). Wang, Hao ; Zhao, Hua ; Yue, Mengqi .
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50. Correlations between oil and stock markets: A wavelet-based approach. (2015). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen.
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