scientific article

Publication date: 25 August 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

point process high-frequency data intensity models volatility liquidity autoregressive conditional duration models financial duration financial multiplicative error models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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