Clustering and mean reversion in a Hawkes microstructure model
José da Fonseca and Riadh Zaatour
| Year of publication: |
2015
|
|---|---|
| Authors: | Fonseca, José da ; Zaatour, Riadh |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 35.2015, 9, p. 813-838
|
| Subject: | multivariate Hawkes process | Wertpapierhandel | Securities trading | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | Welt | World |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011392661