Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Year of publication: |
2020
|
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Authors: | Wehrli, Alexander ; Wheatley, Spencer ; Sornette, Didier |
Publisher: |
Geneva : Swiss Finance Institute |
Subject: | Hawkes process | Integer-valued autoregressive process | Econometrics | High frequency nancial data | Market microstructure | Spurious inference | Nonstationarity | EM algorithm | Zeitreihenanalyse | Time series analysis | Marktmikrostruktur | Börsenkurs | Share price | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
Extent: | 1 Online-Ressource (circa 38 Seiten) Illustrationen |
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Series: | Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 20, 39 Swiss Finance Institute Research Paper ; No. 20-39 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3597938 [DOI] |
Classification: | C01 - Econometrics ; C40 - Econometric and Statistical Methods: Special Topics. General ; C52 - Model Evaluation and Testing |
Source: | ECONIS - Online Catalogue of the ZBW |
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