Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
From MaRDI portal
Publication:1880662
DOI10.1007/978-3-642-17015-7zbMath1081.91001OpenAlexW2483912703MaRDI QIDQ1880662
Publication date: 30 September 2004
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-17015-7
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items
Limit theorems for Markovian Hawkes processes with a large initial intensity, Nonparametric kernel density estimation near the boundary, Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market, State-dependent Hawkes processes and their application to limit order book modelling, Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model, Marked point processes and intensity ratios for limit order book modeling, Point-Process Principal Components Analysis via Geometric Optimization, Analysing liquidity and absorption limits of electronic markets with volume durations, Copula based multivariate semi-Markov models with applications in high-frequency finance, Nonparametric likelihood based estimation of linear filters for point processes, A switching microstructure model for stock prices, A continuous time Bayesian network classifier for intraday FX prediction, Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models, A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models
