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  • Search: subject:"Conditional intensity"
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Year of publication
Subject
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Conditional intensity 5 Theorie 5 conditional intensity 5 Point process 4 Extreme value theory 3 Latent factor 3 Patents 3 R&D spillovers 3 Secret innovations 3 Börsenkurs 2 Expected shortfall 2 Hawkes process 2 Risikomaß 2 Schätzung 2 Self-exciting point process 2 Theory 2 Value-at-Risk 2 Zeitreihenanalyse 2 autoregressive conditional duration 2 autoregressive conditional intensity model 2 high-frequency data 2 time aggregation 2 time-scale transformation 2 value at risk 2 ARCH model 1 ARCH-Modell 1 Aggregation 1 Aktienmarkt 1 Anlageverhalten 1 Ausreißer 1 Autokorrelation 1 Autoregressive Conditional Intensity (ACI) 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Chemieindustrie 1 China 1 Deutschland 1 Estimation 1 Estimation theory 1 Extremwerttheorie 1
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Online availability
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Free 15
Type of publication
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Book / Working Paper 14 Article 1
Type of publication (narrower categories)
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Working Paper 8 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 11 Undetermined 4
Author
All
Herrera, Rodrigo 4 Blazsek, Szabolcs 3 Escribano, Alvaro 3 Hautsch, Nikolaus 2 Jordá, Oscar 2 Liu, Holly 2 Marcellino, Massimiliano 2 Schipp, Bernhard 2 Bowsher, Clive G. 1 Cavaliere, Giuseppe 1 Clements, Adam 1 Hurn, Stan 1 Jorda, Oscar 1 Jordà, Òscar 1 Kohler, Alexander 1 Lindsay, Kenneth A. 1 Lu, Ye 1 Rahbek, Anders 1 Stærk-Østergaard, Jacob 1 Volkov, V. V. 1 Williams, Jeffrey 1 Williams, Jeffrey C. 1 Wyss, Rico von 1
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Institution
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HAL 2 Departamento de Economía, Universidad Carlos III de Madrid 1 Economics Group, Nuffield College, University of Oxford 1 NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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Working Paper 3 Post-Print / HAL 2 2001 Conference, April 23-24, 2001, St. Louis, Missouri 1 CFS Working Paper Series 1 CFS working paper series 1 Discussion papers / Department of Economics, University of Copenhagen 1 Economics Papers / Economics Group, Nuffield College, University of Oxford 1 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 1 Journal of financial econometrics 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Working papers on finance 1
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Source
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RePEc 6 EconStor 5 ECONIS (ZBW) 4
Showing 1 - 10 of 15
Cover Image
Estimating a non-parametric memory kernel for mutually exciting point processes
Clements, Adam; Hurn, Stan; Lindsay, Kenneth A.; … - In: Journal of financial econometrics 21 (2023) 5, pp. 1759-1790
Persistent link: https://www.econbiz.de/10014444733
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Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe; Lu, Ye; Rahbek, Anders; … - 2021 - This version: March 2021
Persistent link: https://www.econbiz.de/10012627515
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Multivariate dynamic intensity peaks-over-threshold models
Hautsch, Nikolaus; Herrera, Rodrigo - 2015
of the multivariate intensity process using autoregressive conditional intensity and Hawkes-type specifications. Likewise …
Persistent link: https://www.econbiz.de/10011335446
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Cover Image
Multivariate dynamic intensity peaks-over-threshold models
Hautsch, Nikolaus; Herrera, Rodrigo - 2015
of the multivariate intensity process using autoregressive conditional intensity and Hawkes-type specifications. Likewise …
Persistent link: https://www.econbiz.de/10011336494
Saved in:
Cover Image
Where does information processing in a fragmented market take place? : evidence from the Swiss stock market after MiFID
Kohler, Alexander; Wyss, Rico von - 2012
Persistent link: https://www.econbiz.de/10010407675
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Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo; Schipp, Bernhard - 2011
The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...
Persistent link: https://www.econbiz.de/10010281546
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Cover Image
Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo; Schipp, Bernhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
The analysis of return series from financial markets is often based on the Peaks-over-threshold (POT) model. This model assumes independent and identically distributed observations and therefore a Poisson process is used to characterize the occurrence of extreme events. However, stylized facts...
Persistent link: https://www.econbiz.de/10010607137
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Cover Image
Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors
Blazsek, Szabolcs; Escribano, Alvaro - HAL - 2010
During the past two decades, innovations protected by patents have played a key role in business strategies. This fact enhanced studies of the determinants of patents and the impact of patents on innovation and competitive advantage. Sustaining competitive advantages is as important as creating...
Persistent link: https://www.econbiz.de/10010774291
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Cover Image
Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors
Blazsek, Szabolcs; Escribano, Alvaro - HAL - 2010
During the past two decades, innovations protected by patents have played a key role in business strategies. This fact enhanced studies of the determinants of patents and the impact of patents on innovation and competitive advantage. Sustaining competitive advantages is as important as creating...
Persistent link: https://www.econbiz.de/10010570515
Saved in:
Cover Image
Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors
Blazsek, Szabolcs; Escribano, Alvaro - Departamento de Economía, Universidad Carlos III de Madrid - 2009
During the past two decades, innovations protected by patents have played a key role in business strategies. This fact enhanced studies of the determinants of patents and the impact of patents on innovation and competitive advantage. Sustaining competitive advantages is as important as creating...
Persistent link: https://www.econbiz.de/10008495535
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