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Hawkes processes for forecasting currency crashes: Evidence from Russia

P. 1182–1188.
Egorova L., Климюк И. Ю.

We consider models for predicting shocks in a foreign exchange market that take into account the endogenous nature of such crashes on the basis of the Hawkes processes. The intensity of the Hawkes processes depends on previous events that allow modeling the clustering effect and self-exciting behavior of returns after the crash. The models were tested on the USD/RUB currency pair.

Language: English
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DOI
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Keywords: foreign exchange marketCurrency crash riskHawkes processes
Publication based on the results of:
Modern context of decision making and data analysis methods: human factor, uncertainty, risks, network models, big data (2018)

In book

Procedia Computer Science
Vol. 122: 5th International Conference on Information Technology and Quantitative Management, ITQM 2017. , Elsevier, 2017.
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