Performance of information criteria for selection of Hawkes process models of financial data (Q4554419)
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scientific article; zbMATH DE number 6979458
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| English | Performance of information criteria for selection of Hawkes process models of financial data |
scientific article; zbMATH DE number 6979458 |
Statements
Performance of information criteria for selection of Hawkes process models of financial data (English)
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14 November 2018
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Hawkes process
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self-exciting process
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model selection
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information criterion
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predictions
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0.7594239115715027
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0.7498595714569092
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0.7281609177589417
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0.7251366972923279
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