Matthew F. Tomlinson

2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models

M. Mucha-Kruczyński, Matthew F. Tomlinson, D. Greenwood, 2022, International Journal of Forecasting.

2T-POT Hawkes model for dynamic left- and right-tail quantile forecasts of financial returns: out-of-sample validation of self-exciting extremes versus conditional volatility

M. Mucha-Kruczyński, Matthew F. Tomlinson, D. Greenwood, 2022 .

Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model: Application to financial returns.

M. Mucha-Kruczyński, D. Greenwood, Matthew F. Tomlinson, 2020, Physical review. E.