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  • Search: subject:"conditional intensity"
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Year of publication
Subject
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Conditional intensity 9 Theorie 7 Point process 6 conditional intensity 6 Börsenkurs 4 Extreme value theory 4 Theory 4 autoregressive conditional intensity model 4 time aggregation 4 time-scale transformation 4 Autokorrelation 3 Hawkes process 3 Latent factor 3 Patents 3 R&D spillovers 3 Risikomaß 3 Schätzung 3 Secret innovations 3 Self-exciting point process 3 Share price 3 Statistische Bestandsanalyse 3 Zeitreihenanalyse 3 high-frequency data 3 ARCH model 2 ARCH-Modell 2 Aktienmarkt 2 Ausreißer 2 Autocorrelation 2 Autoregressive conditional intensity model 2 Bootstrap approach 2 Bootstrap-Verfahren 2 Cross-listed stocks 2 Dauer 2 Deutschland 2 Duration 2 Duration analysis 2 Estimation 2 Expected shortfall 2 MiFID 2 Multivariate Autoregressive Conditional Intensity 2
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Online availability
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Free 15 Undetermined 7
Type of publication
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Book / Working Paper 18 Article 11
Type of publication (narrower categories)
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Working Paper 8 Article in journal 4 Aufsatz in Zeitschrift 4 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3
Language
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Undetermined 15 English 14
Author
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Herrera, Rodrigo 5 Jorda, Oscar 4 Marcellino, Massimiliano 4 Blazsek, Szabolcs 3 Escribano, Alvaro 3 Liu, Holly 3 Schipp, Bernhard 3 Schoenberg, Frederic 3 Cavaliere, Giuseppe 2 Hautsch, Nikolaus 2 Jordá, Oscar 2 Kehrle, Kerstin 2 Kohler, Alexander 2 Lu, Ye 2 Rahbek, Anders 2 Stærk-Østergaard, Jacob 2 Williams, Jeffrey 2 Adelfio, Giada 1 Assunção, Renato 1 Baddeley, A. 1 Bowsher, Clive G. 1 Chang, Chien-Hsun 1 Clements, Adam 1 Fan, Tsai-Hung 1 Hurn, Stan 1 Jordà, Òscar 1 Kuo, Eng-Nan 1 Lindsay, Kenneth A. 1 Møller, J. 1 Nicolis, Orietta 1 Pakes, A. 1 Peter, Franziska J. 1 Peter, Franziska Julia 1 Volkov, V. V. 1 Williams, Jeffrey C. 1 Wyss, Rico von 1 von Wyss, Rico 1
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Institution
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Economics Department, University of California-Davis 3 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 School of Finance, Universität St. Gallen 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
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Published in...
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Annals of the Institute of Statistical Mathematics 5 Working Paper 3 Working Papers / Economics Department, University of California-Davis 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 Banking & Finance 1 Journal of banking & finance 1 Journal of econometrics 1 Journal of empirical finance 1 Journal of financial econometrics 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Statistica 1 Working Papers on Finance 1 Working papers on finance 1
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Source
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RePEc 17 ECONIS (ZBW) 7 EconStor 5
Showing 11 - 20 of 29
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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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Spatio-temporal analysis of the avalanche hazard in the North of Italy
Nicolis, Orietta; Assunção, Renato - In: Statistica 73 (2013) 1, pp. 123-138
The study of avalanche events is particularly important to assess and predict the degree of risk involved in a given area and time. In this work we consider an alternative methodology based on a space-time point process where the intensity function indicates the limiting expected rate of...
Persistent link: https://www.econbiz.de/10010903745
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Who moves first? An intensity-based measure for information flows across stock exchanges
Kehrle, Kerstin; Peter, Franziska J. - In: Journal of Banking & Finance 37 (2013) 5, pp. 1629-1642
-based information share using Russell’s (1999) autoregressive conditional intensity model. Thereby we maintain the irregular nature of …
Persistent link: https://www.econbiz.de/10010662595
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Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
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Who moves first? : an intensity-based measure for information flows across stock exchanges
Kehrle, Kerstin; Peter, Franziska Julia - In: Journal of banking & finance 37 (2013) 5, pp. 1629-1642
Persistent link: https://www.econbiz.de/10009729033
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Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
Bowsher, Clive G. - Economics Group, Nuffield College, University of Oxford - 2005
developed in which the model is specified via the vector conditional intensity. This has the advantage that the conditioning …
Persistent link: https://www.econbiz.de/10005730361
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Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID
Kohler, Alexander; von Wyss, Rico - School of Finance, Universität St. Gallen - 2012
conditional intensity (ACI) model that explicitly takes the asynchronous structure of order arrivals into account, we find strong …
Persistent link: https://www.econbiz.de/10010687543
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Time-scale transformations of discrete time processes
Jordà, Òscar; Marcellino, Massimiliano - 2003
This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such as when monthly data is aggregated into quarters. A...
Persistent link: https://www.econbiz.de/10010274321
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Testing separability in marked multidimensional point processes with covariates
Chang, Chien-Hsun; Schoenberg, Frederic - In: Annals of the Institute of Statistical Mathematics 63 (2011) 6, pp. 1103-1122
Persistent link: https://www.econbiz.de/10009325764
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Non-Institutional Market Making Behavior: The Dalian Futures Exchange
Jordá, Oscar; Liu, Holly; Williams, Jeffrey - 2002
new econometric methods for the analysis of dynamic multivariate count data based on the autoregressive conditional … intensity model of Jordà and Marcellino (2000); and (3) together, the new data and econometric methods allow us to investigate …
Persistent link: https://www.econbiz.de/10010318591
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