Testing for self-excitation in jumps (Q1706487)

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Testing for self-excitation in jumps
scientific article

    Statements

    title
    Testing for self-excitation in jumps (English)
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    author
    H. Peter Boswijk
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    Roger J. A. Laeven
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    Xiye Yang
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    publication date
    22 March 2018
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    zbMATH Keywords
    self-excitation
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    jumps
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    semimartingale
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    spot jump intensity
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    discrete sampling
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    high frequency data
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    financial crisis
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    cites work
    Q4888858
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    Q5649230
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    Q4778955
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    Q4937701
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    Identifiers

    Mathematics Subject Classification ID
    62M05
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    60G44
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    60J75
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    62F12
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    62M07
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    62P05
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    zbMATH DE Number
    6852113
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    OpenAlex ID
    W2784312476
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