Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496): Difference between revisions
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Revision as of 19:04, 19 April 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)
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6 February 2019
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Hawkes process
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Poisson process
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endogeneity
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reflexivity
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branching ratio
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outliers
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memory kernel
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high-frequency data
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criticality
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statistical biases
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power laws
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regime shifts
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