DOLADO, Juan J.; RODRIGUEZ-POO, Juan; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2004
In this paper, two tests for weak exogeneity in the econometric modelling of financial point processes are proposed. They are motivated by the common practice in many econometric studies of tick-by-tick data of making inference on the joint density of durations and marks through the conditional...