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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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Filtered likelihood for point processes
Giesecke, Kay; Schwenkler, Gustavo - In: Journal of econometrics 204 (2018) 1, pp. 33-53
Persistent link: https://www.econbiz.de/10011974711
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Estimating a non-parametric memory kernel for mutually exciting point processes
Clements, Adam; Hurn, Stan; Lindsay, Kenneth A.; … - In: Journal of financial econometrics 21 (2023) 5, pp. 1759-1790
Persistent link: https://www.econbiz.de/10014444733
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Hawkes-based models for high frequency financial data
Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185
Persistent link: https://www.econbiz.de/10013532430
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Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Achab, Massil; Bacry, E.; Muzy, J. F.; Rambaldi, M. - In: Quantitative finance 18 (2018) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10011905857