Pages that link to "Item:Q289187"

The following pages link to Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187):

Displaying 43 items.

• Likelihood based inference for the multivariate renewal Hawkes process (Q149025) (← links)
• Locally stationary Hawkes processes (Q271846) (← links)
• Markov-modulated Hawkes process with stepwise decay (Q421443) (← links)
• Copula based multivariate semi-Markov models with applications in high-frequency finance (Q723963) (← links)
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
• A misspecification test for multiplicative error models of non-negative time series processes (Q888328) (← links)
• Limit theorems for Markovian Hawkes processes with a large initial intensity (Q1615912) (← links)
• Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
• The Hawkes process with renewal immigration \& its estimation with an EM algorithm (Q1660145) (← links)
• Testing for self-excitation in jumps (Q1706487) (← links)
• The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
• Filtered likelihood for point processes (Q1745614) (← links)
• Statistical inference for the doubly stochastic self-exciting process (Q1750090) (← links)
• Testing for jumps and jump intensity path dependence (Q1753059) (← links)
• A bivariate shot noise self-exciting process for insurance (Q2015619) (← links)
• Empirical asset pricing with multi-period disaster risk: a simulation-based approach (Q2024452) (← links)
• Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering (Q2086919) (← links)
• A parameter estimation method for multivariate binned Hawkes processes (Q2103973) (← links)
• Cluster point processes and Poisson thinning INARMA (Q2121089) (← links)
• Marked point processes and intensity ratios for limit order book modeling (Q2166017) (← links)
• Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
• A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy (Q2246615) (← links)
• Optimal market-making strategies under synchronised order arrivals with deep neural networks (Q2246653) (← links)
• High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model (Q2246711) (← links)
• Nonparametric filtering of conditional state-price densities (Q2294444) (← links)
• Confidence interval for correlation estimator between latent processes (Q2303484) (← links)
• Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues (Q2315066) (← links)
• Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
• Modeling multivariate extreme events using self-exciting point processes (Q2511798) (← links)
• A unified approach to validating univariate and multivariate conditional distribution models in time series (Q2512595) (← links)
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model (Q2654438) (← links)
• PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL (Q2842530) (← links)
• TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK (Q2851562) (← links)
• Valuing clustering in catastrophe derivatives (Q2879024) (← links)
• A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK (Q2970318) (← links)
• A Gillespie Algorithm for Non-Markovian Stochastic Processes (Q3133144) (← links)
• Extension and verification of the asymmetric autoregressive conditional duration models (Q3174924) (← links)
• Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
• Bootstrap inference for Hawkes and general point processes (Q6163273) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
• Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)
• The multivariate generalized linear Hawkes process in high dimensions with applications in neuroscience (Q6204674) (← links)
• A mutually exciting rough jump-diffusion for financial modelling (Q6495741) (← links)