Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7436798
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes |
scientific article; zbMATH DE number 7436798 |
Statements
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (English)
0 references
1 December 2021
0 references
Hawkes process
0 references
integer-valued autoregressive process
0 references
econometrics
0 references
high frequency financial data
0 references
market microstructure
0 references
spurious inference
0 references
nonstationarity
0 references
EM algorithm
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8336185216903687
0 references
0.7802727818489075
0 references
0.7699549794197083
0 references
0.7695110440254211
0 references
0.7667126655578613
0 references
