High-frequency financial data modeling using Hawkes processes

Valerie Chavez-Demoulin; James A. McGill

Year of publication:	2012
Authors:	Chavez-Demoulin, Valerie ; McGill, James A.
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 12, p. 3415-3426
Subject:	Börsenkurs \| Share price \| Finanzmarkt \| Financial market \| Wertpapierhandel \| Securities trading \| Stochastischer Prozess \| Stochastic process \| USA \| United States \| Volatilität \| Volatility \| Schätzung \| Estimation \| Theorie \| Theory

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