User menu

A model for interest rates with clustering effects

Bibliographic reference Hainaut, Donatien. A model for interest rates with clustering effects. In: Quantitative Finance, Vol. 16, no.8, p. 1203-1218 (2016)
Permanent URL
  1. Aït-Sahalia Yacine, Cacho-Diaz Julio, Laeven Roger J.A., Modeling financial contagion using mutually exciting jump processes, 10.1016/j.jfineco.2015.03.002
  2. Aït-Sahalia Yacine, Laeven Roger J.A., Pelizzon Loriana, Mutual excitation in Eurozone sovereign CDS, 10.1016/j.jeconom.2014.05.006
  3. Bacry E., Delattre S., Hoffmann M., Muzy J. F., Modelling microstructure noise with mutually exciting point processes, 10.1080/14697688.2011.647054
  4. Bauwens L., Handbook of Financial Time Series: Modelling Financial High Frequency Data Using Point Processes (2009)
  5. Barndorff-Nielsen O. E., Power and Bipower Variation with Stochastic Volatility and Jumps, 10.1093/jjfinec/nbh001
  6. Barndorff-Nielsen O. E., Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation, 10.1093/jjfinec/nbi022
  7. Brigo D., Interest Rate Models – Theory and Practice (2007)
  8. Chavez-Demoulin * V., Davison A. C., McNeil A. J., Estimating value-at-risk: a point process approach, 10.1080/14697680500039613
  9. Chavez-Demoulin V., McGill J.A., High-frequency financial data modeling using Hawkes processes, 10.1016/j.jbankfin.2012.08.011
  10. Chen K., Variance swap premium under stochastic volatility and self-exciting jumps (2013)
  11. Cox John C., Ingersoll Jonathan E., Ross Stephen A., A Theory of the Term Structure of Interest Rates, 10.2307/1911242
  12. Dai Qiang, Singleton Kenneth J., Specification Analysis of Affine Term Structure Models, 10.1111/0022-1082.00278
  13. Dassios A., J. Math. Syst. Sci., 2, 82 (2012)
  14. Duffie Darrell, Kan Rui, A YIELD-FACTOR MODEL OF INTEREST RATES, 10.1111/j.1467-9965.1996.tb00123.x
  15. Eberlein Ernst, Exact pricing formulae for caps and swaptions in a Lévy term structure model, 10.21314/jcf.2005.158
  16. Embrechts Paul, Liniger Thomas, Lin Lu, Multivariate Hawkes processes: an application to financial data, 10.1239/jap/1318940477
  17. Errais Eymen, Giesecke Kay, Goldberg Lisa R., Affine Point Processes and Portfolio Credit Risk, 10.1137/090771272
  18. Filipović Damir, Tappe Stefan, Existence of Lévy term structure models, 10.1007/s00780-007-0054-4
  19. Giot Pierre, Market risk models for intraday data, 10.1080/1351847032000143396
  20. Hainaut Donatien, MacGilchrist Renaud, An Interest Rate Tree Driven by a Lévy Process, 10.3905/jod.2010.18.2.033
  21. Hawkes A., J. R. Stat. Soc. B, 33, 438 (1971)
  22. HAWKES ALAN G., Spectra of some self-exciting and mutually exciting point processes, 10.1093/biomet/58.1.83
  23. Hawkes Alan G., Oakes David, A Cluster Process Representation of a Self-Exciting Process, 10.2307/3212693
  24. Hull John, White Alan, Pricing Interest-Rate-Derivative Securities, 10.1093/rfs/3.4.573
  25. MANCINI CECILIA, Non-parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps, 10.1111/j.1467-9469.2008.00622.x
  26. Salmon M., Time deformation and term structure of interest rates (2007)
  27. Vasicek Oldrich, An equilibrium characterization of the term structure, 10.1016/0304-405x(77)90016-2