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Publications by Alan Hawkes

A Slightly Depressing Jump Model: Intraday Volatility Pattern Simulation

SSRN Electronic Journal

English

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Short Selling and Intraday Volatility: Evidence From the Chinese Market

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Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market

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Model-Based Estimation of High Frequency Jump Diffusions With Microstructure Noise and Stochastic Volatility

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The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

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Volatility of Volatility: A Simple Model-Free Motivation

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The Effect of GST Announcement on Stock Market Volatility: Evidence From Intraday Data

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