A switching self-exciting jump diffusion process for stock prices
A switching self-exciting jump diffusion process for stock prices is a scholarly work, published in 2018 in ''Annals of Finance''. The main subjects of the publication include Alliance-Union universe, volatility, mathematical finance, econometrics, Markov chain, jump process, Markov chain Monte Carlo, Monte Carlo method, computer science, Jump diffusion, economics, econophysics, mathematics, cluster analysis, and statistical physics. The study proposes a new Markov switching process with clustering effects.