Hawkes-based models for high frequency financial data
Kaj Nyström and Changyong Zhang
| Year of publication: |
2022
|
|---|---|
| Authors: | Nyström, Kaj ; Zhang, Changyong |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 73.2022, 10, p. 2168-2185
|
| Subject: | Hawkes processes | high frequency financial data | intensity kernel | maximum likelihood estimation | sample-path simulation | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Simulation | Volatilität | Volatility | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Börsenkurs | Share price | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2021.1952116 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013532430