Hawkes (1971a, 1971b, 1972) introduced a family of models for stochastic point processes
called 'self-exciting and mutually exciting point processes' the essential property of which …

This paper analyzes the volatility spillovers across four global asset classes namely, stock,
sovereign bonds, credit default swaps (CDS) and currency from September 2009 to …

The Poisson process is an essential building block to move up to complicated counting
processes, such as the Cox (“doubly stochastic Poisson”) process, the Hawkes (“self …

We introduce a numerically efficient simulation algorithm for Hawkes process with
exponentially decaying intensity, a special case of general Hawkes process that is most …

We contribute to the scarce literature on the oil market volatility index (OVX) by examining
the presence of time‐varying jumps in OVX and by assessing the ability of OVX to predict the …

Given that jumps in the implied volatility index (VIX) lead to rapid changes in the level of
volatility, they may contain significant predictive information for the realized variance (RV) of …

This paper analyses the risk spillover effect between the US stock market and the remaining
G7 stock markets by measuring the conditional Value-at-Risk (CoVaR) using time-varying …

Instabilities in the price dynamics of a large number of financial assets are a clear sign of
systemic events. By investigating portfolios of highly liquid stocks, we find that there are a …

A brief history of diffusions in Finance is presented, followed by an even briefer discussion of
jump-diffusions that involve Poisson or Lévy jumps. The main purpose of the paper is then to …

This study analyzes return and volatility spillovers across global crude oil markets for 1
January 1991 to 27 April 2018, using an empirical technique from the time and frequency …