Details about Alexander Wehrli

Access statistics for papers by Alexander Wehrli.

Last updated 2024-12-03. Update your information in the RePEc Author Service.

Short-id: pwe465

Working Papers

2024

1. Semiparametric inference for impulse response functions using double/debiased machine learning
   Papers, arXiv.org

2022

2. On the Directional Destabilizing Feedback Effects of Option Hedging
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2021

3. Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2020

4. Classification of flash crashes using the Hawkes(p,q) framework
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Classification of flash crashes using the Hawkes(p,q) framework, Quantitative Finance, Taylor & Francis Journals (2022) (2022)
5. Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes, Quantitative Finance, Taylor & Francis Journals (2021) View citations (2) (2021)

2018

6. The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
   See also Journal Article The endo–exo problem in high frequency financial price fluctuations and rejecting criticality, Quantitative Finance, Taylor & Francis Journals (2019) View citations (4) (2019)

Journal Articles

2022

1. Classification of flash crashes using the Hawkes(p,q) framework
   Quantitative Finance, 2022, 22, (2), 213-240
   See also Working Paper Classification of flash crashes using the Hawkes(p,q) framework, Swiss Finance Institute Research Paper Series (2020) (2020)

2021

2. Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
   Quantitative Finance, 2021, 21, (5), 729-752 View citations (2)
   See also Working Paper Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes, Swiss Finance Institute Research Paper Series (2020) (2020)

2019

3. The endo–exo problem in high frequency financial price fluctuations and rejecting criticality
   Quantitative Finance, 2019, 19, (7), 1165-1178 View citations (4)
   See also Working Paper The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality, Swiss Finance Institute Research Paper Series (2018) View citations (1) (2018)