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Some limit theorems for Hawkes...
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The microstructural foundations of leverage effect and rough volatility
El Euch, Omar
;
Fukasawa, Masaaki
;
Rosenbaum, Mathieu
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
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Analyzing order flows in limit order books with ratios of Cox-type intensities
Toke, Ioane Muni
;
Yoshida, Nakahiro
- In:
Quantitative finance
20
(
2020
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1
,
pp. 81-98
Persistent link: https://www.econbiz.de/10012194856
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Optimal workflow decisions for investigators in systems with interruptions
Dobson, Gregory
;
Tezcan, Tolga
;
Tilson, Vera
- In:
Management science : journal of the Institute for …
59
(
2013
)
5
,
pp. 1125-1141
Persistent link: https://www.econbiz.de/10009751183
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Limit theorems for Markovian bandwidth-sharing networks with rate constraints
Reed, Josh
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Zwart, Bert
- In:
Operations research
62
(
2014
)
6
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pp. 1453-1466
Persistent link: https://www.econbiz.de/10010471835
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Limit of random measures associated with the increments of a brownian semimartingale
Jacod, Jean
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
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pp. 526-569
Persistent link: https://www.econbiz.de/10011987890
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Stochastic approximation algorithms for superquantiles estimation
Bercu, Bernard
;
Costa, Manon
;
Gadat, Sébastien
-
2020
Persistent link: https://www.econbiz.de/10012286349
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7
How much data do you need? : an operational, pre-asymptotic metric for fat-tailedness
Taleb, Nassim Nicholas
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 677-686
Persistent link: https://www.econbiz.de/10012300715
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The long-term behavior of number of near-maximum insurance claims
Dembińska, Anna
;
Buraczyńska, Aneta
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 226-237
Persistent link: https://www.econbiz.de/10012105570
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The scaling limit of superreplication prices with small transaction costs in the multivariate case
Bank, Peter
;
Dolinsky, Yan
;
Perkkiö, Ari-Pekka
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 487-508
Persistent link: https://www.econbiz.de/10011944401
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Maximum likelihood estimation in the multiplicative intensity model : a survey
Jacobsen, Martin
- In:
International statistical review : a journal of the …
52
(
1984
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2
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pp. 193-207
Persistent link: https://www.econbiz.de/10003057175
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