Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187)
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scientific article; zbMATH DE number 6586835
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| English | Modelling security market events in continuous time: intensity based, multivariate point process models |
scientific article; zbMATH DE number 6586835 |
Statements
Modelling security market events in continuous time: intensity based, multivariate point process models (English)
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27 May 2016
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point process
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conditional intensity
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Hawkes process
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specification test
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random time change
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transactions data
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market microstructure
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0.8201611638069153
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0.7985360026359558
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0.7915316224098206
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0.7896268367767334
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0.7870866060256958
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