Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187): Difference between revisions

@@ Property / author @@
-Clive G. Bowsher
@@ Property / author: Clive G. Bowsher / rank @@
-Normal rank
@@ Property / author @@
+Clive G. Bowsher
@@ Property / author: Clive G. Bowsher / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G55
@@ Property / Mathematics Subject Classification ID: 60G55 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M09
@@ Property / Mathematics Subject Classification ID: 62M09 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6586835
@@ Property / zbMATH DE Number: 6586835 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+point process
@@ Property / zbMATH Keywords: point process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+conditional intensity
@@ Property / zbMATH Keywords: conditional intensity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hawkes process
@@ Property / zbMATH Keywords: Hawkes process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+specification test
@@ Property / zbMATH Keywords: specification test / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+random time change
@@ Property / zbMATH Keywords: random time change / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+transactions data
@@ Property / zbMATH Keywords: transactions data / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+market microstructure
@@ Property / zbMATH Keywords: market microstructure / rank @@
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+Ox
@@ Property / describes a project that uses: Ox / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2006.11.007
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@@ Property / OpenAlex ID @@
+W3126099958
@@ Property / OpenAlex ID: W3126099958 / rank @@
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@@ Property / cites work @@
+Nonparametric inference for a family of counting processes
+Normal rank
@@ Property / cites work @@
+Testing When a Parameter is on the Boundary of the Maintained Hypothesis
+Normal rank
@@ Property / cites work @@
+Econometric modelling of stock market intraday activity.
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+Stability of nonlinear Hawkes processes
@@ Property / cites work: Stability of nonlinear Hawkes processes / rank @@
+Normal rank
@@ Property / cites work @@
+A simple proof of the multivariate random time change theorem for point processes
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Point Processes
@@ Property / cites work: An Introduction to the Theory of Point Processes / rank @@
+Normal rank
@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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@@ Property / cites work @@
+Modeling the interdependence of volatility and inter-transaction duration processes.
+Normal rank
@@ Property / cites work @@
+Spectra of some self-exciting and mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+Q4000186
@@ Property / cites work: Q4000186 / rank @@
+Normal rank
@@ Property / cites work @@
+The asymptotic behaviour of maximum likelihood estimators for stationary point processes
+Normal rank
@@ Property / cites work @@
+On Lewis' simulation method for point processes
@@ Property / cites work: On Lewis' simulation method for point processes / rank @@
+Normal rank
@@ Property / cites work @@
+Partial non-Gaussian state space
@@ Property / cites work: Partial non-Gaussian state space / rank @@
+Normal rank
@@ Property / cites work @@
+A note on random intensities and conditional survival functions
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:289187