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Jian Chen
Jian Chen
Verificeret mail på sussex.ac.uk
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Modelling price and variance jump clustering using the marked hawkes process
J Chen, MP Clements, A Urquhart
Journal of Financial Econometrics, nbad007, 2023
42023
Limit-Hitting Exciting Effects: Modeling Jump Dependencies in Stock Markets Adhering to Daily Price-Limit Rules
J Chen, S Qi
Journal of Banking & Finance, 107184, 2024
12024
Jump Clustering, Information Flows, and Stock Price Efficiency
J Chen
Journal of Financial Econometrics, nbae009, 2024
2024
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Artikler 1–3