Performance of information criteria for selection of Hawkes process models of financial data
J. Chen, A. G. Hawkes, E. Scalas and M. Trinh
| Year of publication: |
February 2018
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|---|---|
| Authors: | Chen, Jing ; Hawkes, A. G. ; Scalas, E. ; Trinh, M. |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 2, p. 225-235
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| Subject: | Hawkes process | Self-exciting process | Model selection | Information criterion | AIC | BIC | HQ | Theorie | Theory | Prozessmanagement | Business process management | Modellierung | Scientific modelling | Stochastischer Prozess | Stochastic process |