Specification testing in Hawkes models
Francine Gresnigt, Erik Kole, and Philip Hans Franses
| Year of publication: |
2017
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|---|---|
| Authors: | Gresnigt, Francine ; Kole, Erik ; Franses, Philip Hans |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 1, p. 139-171
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| Subject: | extremal dependence | financial crashes | Hawkes processes | specification tests | Theorie | Theory | Statistischer Test | Statistical test | Modellierung | Scientific modelling | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbw011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011658747