هاوکس روند پیش بینی سقوط ارز: شواهد از روسیه

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.