Modelling financial high frequency data using point processes
Year of publication: |
2006-09
|
---|---|
Authors: | BAUWENS, Luc ; HAUTSCH, Nikolaus |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | duration | intensity | point process | high frequency data | ACD models |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2006080 |
Classification: | C41 - Duration Analysis ; C32 - Time-Series Models |
Source: |
-
Modelling Financial High Frequency Data Using Point Processes
Luc, BAUWENS, (2006)
-
Blazsek, Szabolcs, (2009)
-
Allen, David, (2013)
- More ...
-
Stochastic conditional intensity processes
BAUWENS, Luc,
-
Modelling financial high frequency data using point processes
BAUWENS, Luc,
-
Dynamic latent factor models for intensity processes
BAUWENS, Luc, (2003)
- More ...