Warnings about Future Jumps: Properties of the Exponential Hawkes Model.

We analyze jump risks in financial asset prices modeled by Ito semimartingales with an exponential Hawkes process as the jump counter. First, using little information, we estimate the probability that an observed jump cluster is not yet exhausted. Second, we make explicit the conditional density of...

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Detalles Bibliográficos

Publicado en:	Journal of Financial Econometrics Vol. 24; no. 3; pp. 1 - 38
Autores principales:	Foschi, Rachele, Lilla, Francesca, Mancini, Cecilia
Formato:	Artículo
Publicado:	Oxford University Press / USA 2026
Materias:	Semimartingales (Mathematics) Prices of securities Financial databases Investment risk Probability density function
Acceso en línea:	Ver este registro en EBSCOhost