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Dynamic latent factor models for intensity processes

Bauwens, Luc; Hautsch, Nikolaus - 2003

Persistent link: https://www.econbiz.de/10001946172

Stochastic conditional intensity processes

Bauwens, Luc; Hautsch, Nikolaus - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 450-493

Persistent link: https://www.econbiz.de/10003354109

Dynamic Latent Factor Models for Intensity Processes

Bauwens, Luc; Hautsch, Nikolaus - 2005

This paper introduces a new framework for the dynamic modelling of univariate and multivariate point processes. The so-called latent factor intensity (LFI) model is based on the assumption that the intensity function consists of univariate or multivariate observation driven dynamic components...

Persistent link: https://www.econbiz.de/10014066098

The stochastic conditional duration model : a latent factor model for the analysis of financial durations

Bauwens, Luc; Veredas, David - 1999

Persistent link: https://www.econbiz.de/10001430783

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999

Persistent link: https://www.econbiz.de/10001430824

The logarithmic ACD model : an application to market microstructure and NASDAQ

Bauwens, Luc; Giot, Pierre - 1997

Persistent link: https://www.econbiz.de/10000980123

Asymmetric ACD models : introducing price information in ACD models with a two state transition model

Bauwens, Luc - 1998

Persistent link: https://www.econbiz.de/10000994354

The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks

Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149

Persistent link: https://www.econbiz.de/10001543399

Econometric modelling of stock market intraday activity

Bauwens, Luc; Giot, Pierre - 2001

Persistent link: https://www.econbiz.de/10001584609

Asymmetric ACD models: introducing price information in ACD models

Bauwens, Luc; Giot, Pierre - In: Empirical economics : a journal of the Institute for … 28 (2003) 4, pp. 709-731

Persistent link: https://www.econbiz.de/10001798161

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