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Hawkes process
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conditional intensity
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market microstructure
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random time change
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Bowsher, Clive G.
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Economics Group, Nuffield College, University of Oxford
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Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
Bowsher, Clive G.
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Economics Group, Nuffield College, University of Oxford
-
2005
specification tests for parametric models based on a multivariate
random
time
change
theorem are proposed. A computationally …
Persistent link: https://www.econbiz.de/10005730361
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