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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 - 2003
A continuous time econometric modelling framework for multivariate financial market event (or `transactions') data is …
Persistent link: https://www.econbiz.de/10005730354
Cover Image
Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models
Bowsher, Clive - Economics Group, Nuffield College, University of Oxford - 2002
A continuous time econometric modelling framework for multivariate market event (or 'transactions') data is developed …
Persistent link: https://www.econbiz.de/10005730362