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A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the Ornstein-Uhlenbeck intensi
Externí odkaz:
http://arxiv.org/abs/2412.15172
This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We identify upper bounds for both the univariate and the multivariate int
Externí odkaz:
http://arxiv.org/abs/2402.03275
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting process.
Externí odkaz:
http://arxiv.org/abs/2308.12179
Autor:
Orjon Rroji, Carla Mucignat
Publikováno v:
Future Science OA, Vol 10, Iss 1 (2024)
Aim: To examine epigenetic changes leading to functional repair after damage to the central motor system.Data sources: A literature search was conducted using medical and health science electronic databases (PubMed, MEDLINE, Scopus) up to July 2023.S
Externí odkaz:
https://doaj.org/article/5d40546d528b4e54805c945617384667
In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation function and empirically evidences reject the monotonicity assumption on
Externí odkaz:
http://arxiv.org/abs/2208.02659
Publikováno v:
In Finance Research Letters March 2025 73
Publikováno v:
In Insurance Mathematics and Economics May 2024 116:1-26
In this paper we show how to approximate the transition density of a CARMA(p, q) model driven by means of a time changed Brownian Motion based on the Gauss-Laguerre quadrature. We then provide an analytical formula for option prices when the log pric
Externí odkaz:
http://arxiv.org/abs/2005.10130
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