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~institution:"Department of Economics, Oxford University"
~subject:"change of timescale"
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change of timescale
transactions data
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Brownian motion
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NYSE
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cointegration
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diagnostics
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econometric methods
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goodness of fit
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Department of Economics, Oxford University
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Modelling Security Market Events in Continuous Time: Intensity based,
Multivariate
Point Process Models
Bowsher, Clive
-
Department of Economics, Oxford University
-
2002
A continuous time econometric modelling framework for
multivariate
market event (or transactions) data is developed in …
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