Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Alexander Wehrli, Spencer Wheatley and Didier Sornette
| Year of publication: |
2021
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|---|---|
| Authors: | Wehrli, Alexander ; Wheatley, Spencer ; Sornette, Didier |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 5, p. 729-752
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| Subject: | Econometrics | EM algorithm | Hawkes process | High frequency financial data | Integer-valued autoregressive process | Market microstructure | Nonstationarity | Spurious inference | Zeitreihenanalyse | Time series analysis | Marktmikrostruktur | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Volatilität | Volatility | Schätztheorie | Estimation theory | Ökonometrie | Elektronisches Handelssystem | Electronic trading | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1838602 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012500185