| Reference: | [1] Aït-Sahalia, Y., Cacho-Diaz, J., & Laeven, R. J. (2015). Modeling financial con-tagion using mutually exciting jump processes. Journal of Financial Econom-ics, 117(3), 585-606.
[2] Aït-Sahalia, Y., Laeven, R. J., & Pelizzon, L. (2014). Mutual excitation in Euro-zone sovereign CDS. Journal of Econometrics, 183(2), 151-167.
[3] Andersena, T. G., Bollerslevb, T., & Dieboldc, F. X. (2005). Some Like it Smooth, and Some Like it Rough: Disentangling Continuous and Jump Compo-nents in Measuring.
[4] Barndorff-Nielsen, O. E., & Shephard, N. (2004). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2(1), 1-37.
[5] Barndorff-Nielsen, O. E., & Shephard, N. (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics, 4(1), 1-30.
[6] Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90.
[7] Huang, X., & Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499.
[8] Ozaki, T. (1979). Maximum likelihood estimation of Hawkes` self-exciting point processes. Annals of the Institute of Statistical Mathematics, 31(1), 145-155.
[9] Vere-Jones, D. (1970). Stochastic models for earthquake occurrence. Journal of the Royal Statistical Society. Series B (Methodological), 1-62. |
