Similar Search Results - EconBiz

On a class of hyper-Poisson and alternative hyper-Poisson distributions

Kumar, C. Satheesh; Nair, B. Unnikrishnan - In: Opsearch : journal of the Operational Research Society … 52 (2015) 1, pp. 86-100

Persistent link: https://www.econbiz.de/10011300191

Goodness-of-fit tests for bivariate time series of counts

Hudecová, Šárka; Hušková, Marie; Meintanis, Simos G. - In: Econometrics : open access journal 9 (2021) 1/10, pp. 1-20

This article considers goodness-of-fit tests for bivariate INAR and bivariate Poisson autoregression models. The test statistics are based on an L2-type distance between two estimators of the probability generating function of the observations: one being entirely nonparametric and the second one...

Persistent link: https://www.econbiz.de/10012483304

On compound sums under dependence

Eryilmaz, Serkan - In: Insurance / Mathematics & economics 72 (2017), pp. 228-234

Persistent link: https://www.econbiz.de/10011694663

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

On the intraday periodicity duration adjustment of high-frequency data

Wu, Zhengxiao - In: Journal of empirical finance 19 (2012) 2, pp. 282-291

Persistent link: https://www.econbiz.de/10009615704

Exogenous factors for order arrivals on the intraday electricity market

Kramer, Anke; Kiesel, Rüdiger - In: Energy economics 97 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012819362

Nonparametric inference for extremal conditional quantiles

Kurisu, Daisuke; Otsu, Taisuke - 2021

Persistent link: https://www.econbiz.de/10012627480

A generalized contagion process with an application to credit risk

Dassios, Angelos; Zhao, Hongbiao - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011686792

Point process models for extreme returns : harnessing implied volatility

Herrera, Rodrigo; Clements, Adam - In: Journal of banking & finance 88 (2018), pp. 161-175

Persistent link: https://www.econbiz.de/10011962603

Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events

Yang, Steve Y.; Liu, Anqi; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 295-310

Persistent link: https://www.econbiz.de/10011906342

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