Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling (Q5407023)
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scientific article; zbMATH DE number 6279824
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| English | Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling |
scientific article; zbMATH DE number 6279824 |
Statements
Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling (English)
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4 April 2014
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asymptotic normality
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consistency
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Hawkes process
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intensity process
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martingale central limit theorem
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maximum likelihood estimator
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nonstationary
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point process
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self-exciting
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ultra-high frequency
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0.9073556
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0.8871207
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0.85673034
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0.8567016
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0.8531841
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0.8530053
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0.8526542
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0.8522867
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0.85057425
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