Citation profile for Alexander Wehrli

Alexander Wehrli : Citation Profile

Schweizerische Nationalbank (SNB) (80% share)
Eidgenössische Technische Hochschule Zürich (ETHZ) (20% share)

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Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   4 years (2018 - 2022). See details.
   Cites by year: 1
   Journals where Alexander Wehrli has often published
   Relations with other researchers
   Recent citing documents: 3.    Total self citations: 0 (0 %)

MORE DETAILS IN:

EconPapers

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwe465
   Updated: 2024-04-18    RAS profile: 2022-12-01
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Alexander Wehrli.

Is cited by:

Cites to:

Main data

Where Alexander Wehrli has published?

Journals with more than one article published	# docs
Quantitative Finance	3

Working Papers Series with more than one paper published	# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute	4

Recent works citing Alexander Wehrli (2024 and 2023)

Year	Title of citing document
2023	Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198. Full description at Econpapers \|\| Download paper
2023	Nonlinear Poisson autoregression and nonlinear Hawkes processes. (2023). Khabou, Mahmoud ; Huang, Lorick. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:201-241. Full description at Econpapers \|\| Download paper
2023	The GameStop short squeeze: Put–call parity and the effect of frictions before, during and after the squeeze. (2023). Hilliard, Jitka. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:635-661. Full description at Econpapers \|\| Download paper

Works by Alexander Wehrli:

Year	Title	Type	Cited
2018	The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis]	paper	2
2019	The endo–exo problem in high frequency financial price fluctuations and rejecting criticality.(2019) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2	article
2020	Classification of flash crashes using the Hawkes(p,q) framework In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis]	paper	0
2022	Classification of flash crashes using the Hawkes(p,q) framework.(2022) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0	article
2021	Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis]	paper	0
2022	On the Directional Destabilizing Feedback Effects of Option Hedging In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis]	paper	1
2021	Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes In: Quantitative Finance. [Full Text][Citation analysis]	article	2