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

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Modelling security market events in continuous time: intensity based, multivariate point process models
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    Modelling security market events in continuous time: intensity based, multivariate point process models (English)
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    27 May 2016
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    point process
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    conditional intensity
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    Hawkes process
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    specification test
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    random time change
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    transactions data
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    market microstructure
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