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~isPartOf:"CESifo working papers"
~isPartOf:"Research paper series / Swiss Finance Institute"
~person:"Filimonov, Vladimir"
~type_genre:"Working Paper"
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Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data
Filimonov, Vladimir
;
Sornette, Didier
-
2013
calibration of the Hawkes process on mixtures of pure
Poisson
process
with changes of regime leads to completely spurious apparent …
Persistent link: https://www.econbiz.de/10010257507
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