The dynamic mixed hitting-time model for multiple transaction prices and times

DOI10.1016/J.JECONOM.2014.01.009zbMath1293.91198OpenAlexW3123855120MaRDI QIDQ2451776

Thijs van der Heijden, Eric Renault, Bas J. M. Werker

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.01.009

zbMATH Keywords

hitting timemarket microstructureduration modelingtrading intensity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (4)

Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise ⋮ Modelling Asset Prices for Algorithmic and High-Frequency Trading ⋮ Estimation of integrated quadratic covariation with endogenous sampling times ⋮ Statistical inference for the doubly stochastic self-exciting process

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