Estimating a non-parametric memory kernel for mutually exciting point processes
Year of publication: |
2023
|
---|---|
Authors: | Clements, Adam ; Hurn, Stan ; Lindsay, Kenneth A. ; Volkov, V. V. |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 5, p. 1759-1790
|
Subject: | conditional intensity | high-frequency data | point processes |
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