Multi-kernel property in high-frequency price dynamics under Hawkes model
Kyungsub Lee
| Year of publication: |
2024
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| Authors: | Lee, Kyungsub |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 4, p. 605-624
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| Subject: | Hawkes model | high-frequency data | multi-kernel | responsiveness | stock price dynamics | Börsenkurs | Share price | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2022-0049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015123070