|
|
(5 intermediate revisions by 4 users not shown) |
Property / author | |
| | |
Property / author: Didier Sornette / rank | |
| Normal rank
| |
| Property / author |
| | |
| Property / author: Didier Sornette / rank |
| | Normal rank |
| Property / MaRDI profile type |
| | |
| Property / MaRDI profile type: MaRDI publication profile / rank |
| | Normal rank |
| Property / full work available at URL |
| | |
| Property / full work available at URL: https://doi.org/10.1080/14697688.2018.1550266 / rank |
| | Normal rank |
| Property / OpenAlex ID |
| | |
| Property / OpenAlex ID: W2909951134 / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Ruin probabilities and aggregrate claims distributions for shot noise Cox processes / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Hawkes model for price and trades high-frequency dynamics / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Mean-field inference of Hawkes point processes / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Quadratic Hawkes processes for financial prices / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Population viewpoint on Hawkes processes / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Modelling security market events in continuous time: intensity based, multivariate point process models / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Power spectra of general shot noises and Hawkes point processes with a random excitation / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Time series, point processes, and hybrids / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Time series: theory and methods / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Performance of information criteria for selection of Hawkes process models of financial data / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Q4109064 / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: A dynamic contagion process / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Statistical Models / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Diagnosing Shocks in Time Series / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Spatio-temporal point processes, partial likelihood, foot and mouth disease / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: The Estimation of Prediction Error / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Spurious regressions in econometrics / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Q3999341 / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: The elements of statistical learning. Data mining, inference, and prediction / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Q5649230 / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Spectra of some self-exciting and mutually exciting point processes / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Limit theorems for nearly unstable Hawkes processes / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: The Restricted EM Algorithm for Maximum Likelihood Estimation Under Linear Restrictions on the Parameters / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Hawkes and INAR(\(\infty\)) processes / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Explosive Poisson shot noise processes with applications to risk reserves / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: A study of logspline density estimation / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: The limits of statistical significance of Hawkes processes fitted to financial data / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Q4353852 / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Q3608237 / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: On Lewis' simulation method for point processes / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: The role of volume in order book dynamics: a multivariate Hawkes process analysis / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Mixture Densities, Maximum Likelihood and the EM Algorithm / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Endogenous versus exogenous shocks in systems with memory / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Estimation of Space–Time Branching Process Models in Seismology Using an EM–Type Algorithm / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: Spurious regression / rank |
| | Normal rank |
| Property / cites work |
| | |
| Property / cites work: The Hawkes process with renewal immigration \& its estimation with an EM algorithm / rank |
| | Normal rank |
links / mardi / name | links / mardi / name |
| | |