Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 14:43, 7 February 2024
scientific article; zbMATH DE number 7013619
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data |
scientific article; zbMATH DE number 7013619 |
Statements
Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (English)
0 references
6 February 2019
0 references
Hawkes process
0 references
Poisson process
0 references
endogeneity
0 references
reflexivity
0 references
branching ratio
0 references
outliers
0 references
memory kernel
0 references
high-frequency data
0 references
criticality
0 references
statistical biases
0 references
power laws
0 references
regime shifts
0 references
