High-frequency financial data modeling using Hawkes processes
Year of publication: |
2012
|
---|---|
Authors: | Chavez-Demoulin, V. ; McGill, J.A. |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 12, p. 3415-3426
|
Publisher: |
Elsevier |
Subject: | Hawkes process | High-frequency data | Peaks-over-threshold | Self-exciting process | Value-at-risk |
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