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~institution:"Department of Economics, Oxford University"
~subject:"multivariate"
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multivariate
transactions data
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Brownian motion
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cointegration
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diagnostics
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goodness of fit
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Bowsher, Clive
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Department of Economics, Oxford University
Economics Group, Nuffield College, University of Oxford
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Modelling Security Market Events in Continuous Time: Intensity Based,
Multivariate
Point Process Model
Bowsher, Clive
-
Department of Economics, Oxford University
-
2004
A continuous time econometric modelling framework for
multivariate
financial market event (or `transactions`) data is …
Persistent link: https://www.econbiz.de/10010604834
Saved in:
2
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 …
Persistent link: https://www.econbiz.de/10010605223
Saved in:
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