Pages that link to "Item:Q289187"
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The following pages link to Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187):
Displaying 50 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)
- Affine Point Processes: Approximation and Efficient Simulation (Q3465933) (← links)
- On diagnostic checking of the autoregressive conditional intensity model (Q3626377) (← links)
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
- Analysis of order book flows using a non-parametric estimation of the branching ratio matrix (Q4554417) (← links)
- A slightly depressing jump model: intraday volatility pattern simulation (Q4554418) (← links)
- Performance of information criteria for selection of Hawkes process models of financial data (Q4554419) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration (Q4554421) (← links)
- Transform analysis for Hawkes processes with applications in dark pool trading (Q4554422) (← links)
- Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market (Q4554423) (← links)
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
- Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
- The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
