Dynamic latent factor models for intensity processes
Year of publication: |
2003-12
|
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Authors: | BAUWENS, Luc ; HAUTSCH, Nikolaus |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | multivariate point process | latent factor | transaction durations | efficient importance sampling |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2003103 |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; C41 - Duration Analysis |
Source: |
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