9 citations · 9 across the 1 of their papers we have counts for
2 papers
q-fin.ST2022★ 9 cited
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log-returns: out-of-sample comparison of conditional EVT models
Matthew F. Tomlinson, David Greenwood, Marcin Mucha-Kruczynski
Conditional extreme value theory (EVT) methods promise enhanced forecasting of the extreme tail events that often dominate systemic risk. We present an improved two-tailed peaks-ov…
q-fin.ST2020
Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model: application to financial returns
Matthew F. Tomlinson, David Greenwood, Marcin Mucha-Kruczynski
We construct a two-tailed peak-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time seri…