Bauwens, Luc (contributor); Hautsch, Nikolaus (contributor) - 2007
provides therefore the vehicle for incorporating the dynamics of the duration process. In
this respect it is convenient to use … property that the dynamics of
higher moments of the duration process are governed by the dynamics of the conditional
mean ….
Bowsher (2006), Hautsch (2004) and Large (2007) illustrate that Hawkes processes capture
the dynamics in financial point …