Pages that link to "Item:Q4619496"
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The following pages link to Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496):
Displayed 15 items.
- Accelerating the estimation of renewal Hawkes self-exciting point processes (Q109685) (← links)
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- GP-ETAS: semiparametric Bayesian inference for the spatio-temporal epidemic type aftershock sequence model (Q2128068) (← links)
- Self-excited Ising game (Q2143332) (← links)
- A switching microstructure model for stock prices (Q2312402) (← links)
- Inference for ETAS models with non-Poissonian mainshock arrival times (Q2329808) (← links)
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment (Q2665846) (← links)
- Long-Time Behavior of a Hawkes Process--Based Limit Order Book (Q3456836) (← links)
- The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
- The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
- Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205) (← links)
- Classification of flash crashes using the Hawkes<i>(p,q)</i>framework (Q5068081) (← links)
- The endo–exo problem in high frequency financial price fluctuations and rejecting criticality (Q5234347) (← links)
- Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)