Dynamic Latent Factor Models for Intensity Processes
Year of publication: |
2005
|
---|---|
Authors: | Bauwens, Luc ; Hautsch, Nikolaus |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Stochastischer Prozess | Stochastic process | Deutschland | Germany | Dauer | Duration | Börsenkurs | Share price | Handelsvolumen der Börse | Trading volume | Faktorenanalyse | Factor analysis |
Extent: | 1 Online-Ressource (37 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 17, 2004 erstellt |
Other identifiers: | 10.2139/ssrn.691886 [DOI] |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; C41 - Duration Analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim, (1999)
-
The dynamics of trading duration, volume and price volatility : a vector MEM model
Xu, Yongdeng, (2013)
-
Hautsch, Nikolaus, (2007)
- More ...
-
Modelling Financial High Frequency Data Using Point Processes
Bauwens, Luc, (2007)
-
Modelling financial high frequency data using point processes
Bauwens, Luc, (2007)
-
Modelling financial high frequency data using point processes
Bauwens, Luc, (2007)
- More ...