Modelling security market events in continuous time: Intensity based, multivariate point process models
نویسندگان
چکیده
منابع مشابه
Modelling security market events in continuous time: Intensity based, multivariate point process models
A continuous time econometric modelling framework for multivariate financial market event (or ‘transactions’) data is developed in which the model is specified via the vector conditional intensity. Generalised Hawkes models are introduced that incorporate inhibitory events and dependence between trading days. Novel omnibus specification tests based on a multivariate random time change theorem a...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2007
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2006.11.007