Extending the volatility concept to point processes
From MaRDI portal
Publication:928893
DOI10.1016/j.jspi.2008.03.003zbMath1141.62063MaRDI QIDQ928893
Publication date: 11 June 2008
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2008.03.003
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62P10: Applications of statistics to biology and medical sciences; meta analysis
62M99: Inference from stochastic processes
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
Uses Software
Cites Work