Author:
Brignone Riccardo,Gonzato Luca,Sgarra Carlo
Publisher
Springer Nature Switzerland
Reference73 articles.
1. Ait-Sahalia, Y., Hurd, T.: Portfolio choice in markets with contagion. J. Financial Econ. 14, 1–28 (2016)
2. Ait-Sahalia, Y., Chaco-Diaz, J., Laeven, R.J.A.: Modeling financial contagion using mutually exciting jump processes. J. Financial Econ. 117, 585–606 (2015)
3. Andrieu, C., Doucet, A., Holenstein, R.: Particle Markov chain Monte Carlo. J. R. Stat. Soc. Ser. B 72, 269–342 (2010)
4. Bacry, E., Delattre, S., Hoffman, M., Muzy, J.: Modelling microstructure noise by mutually exciting point processes. Quantitat. Finance, 13, 65–77 (2013)
5. Bacry, E., Mastromatteo, I., Muzy, J.: Hawkes processes in finance. Mark. Microstruct. Liquid., 1, 1550005 (2015)