Article

Chen, J., Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 and Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 (2024) Modelling price and variance jump clustering using the marked Hawkes process. Journal of Financial Econometrics, 22 (3). pp. 743-772. ISSN 1479-8417 doi: 10.1093/jjfinec/nbad007

Thesis

Chen, J. (2022) Essays on stochastic volatility models with jump clustering. PhD thesis, University of Reading. doi: 10.48683/1926.00109153