A switching self-exciting jump diffusion process for stock prices

Donatien Hainaut and Franck Moraux ()

No 2018013, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2018-01-01
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: A switching self-exciting jump diffusion process for stock prices (2019)
Working Paper: A switching self-exciting jump diffusion process for stock prices (2019)
Working Paper: A switching self-exciting jump diffusion process for stock prices (2019)
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