Estimating a non-parametric memory kernel for mutually exciting point processes
AE Clements, AS Hurn, KA Lindsay, VV Volkov
| Year of publication: |
2023
|
|---|---|
| Authors: | Clements, Adam ; Hurn, Stan ; Lindsay, Kenneth A. ; Volkov, V. V. |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 5, p. 1759-1790
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| Subject: | conditional intensity | high-frequency data | point processes | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014444733