Pages that link to "Item:Q3646988"
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The following pages link to Modelling Financial High Frequency Data Using Point Processes (Q3646988):
Displaying 50 items.
- Hawkes processes on large networks (Q259574) (← links)
- Locally stationary Hawkes processes (Q271846) (← links)
- Statistical inference versus mean field limit for Hawkes processes (Q286219) (← links)
- Modelling security market events in continuous time: intensity based, multivariate point process models (Q289187) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Copula based multivariate semi-Markov models with applications in high-frequency finance (Q723963) (← links)
- Extending the volatility concept to point processes (Q928893) (← links)
- Modeling financial durations using penalized estimating functions (Q1615270) (← links)
- A review of self-exciting spatio-temporal point processes and their applications (Q1630387) (← links)
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm (Q1660145) (← links)
- Marked point process adjusted tail dependence analysis for high-frequency financial data (Q1747435) (← links)
- Modelling irregulary spaced financial data. Theory and practice of dynamic duration models. (Q1880662) (← links)
- Statistical inference across time scales (Q1952257) (← links)
- A bivariate shot noise self-exciting process for insurance (Q2015619) (← links)
- Financial contagion through space-time point processes (Q2059116) (← links)
- A convergence criterion for systems of point processes from the convergence of their stochastic intensities (Q2064803) (← links)
- Mean field limits for interacting Hawkes processes in a diffusive regime (Q2073204) (← links)
- Homotopy analysis method and its applications in the valuation of European call options with time-fractional Black-Scholes equation (Q2128167) (← links)
- Fractional Hawkes processes (Q2164927) (← links)
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process (Q2188020) (← links)
- Statistical inference for a partially observed interacting system of Hawkes processes (Q2196382) (← links)
- Precise deviations for Hawkes processes (Q2214245) (← links)
- Modelling of limit order books by general compound Hawkes processes with implementations (Q2241518) (← links)
- Nonparametric filtering of conditional state-price densities (Q2294444) (← links)
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models (Q2340394) (← links)
- Impact of volatility clustering on equity indexed annuities (Q2374129) (← links)
- Some limit theorems for Hawkes processes and application to financial statistics (Q2447641) (← links)
- Time-consistent evaluation of credit risk with contagion (Q2667125) (← links)
- Limit theorems for a discrete-time marked Hawkes process (Q2667603) (← links)
- A quasi-locally most powerful test for correlation in the conditional variance of positive data (Q2802749) (← links)
- Limit order books (Q2871425) (← links)
- Integer-valued Lévy processes and low latency financial econometrics (Q2873033) (← links)
- A review of the modeling development of high frequency time series (Q2919723) (← links)
- (Q2940155) (← links)
- High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model (Q2941476) (← links)
- A model for interest rates with clustering effects (Q4554210) (← links)
- Collective synchronization and high frequency systemic instabilities in financial markets (Q4554420) (← links)
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
- The role of volume in order book dynamics: a multivariate Hawkes process analysis (Q4555121) (← links)
- Modelling Asset Prices for Algorithmic and High-Frequency Trading (Q4585000) (← links)
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496) (← links)
- ESTIMATION FOR THE PREDICTION OF POINT PROCESSES WITH MANY COVARIATES (Q4643224) (← links)
- Semi-Markov Model for Market Microstructure (Q4682482) (← links)
- Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
- State-dependent Hawkes processes and their application to limit order book modelling (Q5072914) (← links)
- Disentangling and quantifying market participant volatility contributions (Q5235452) (← links)
- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling (Q5407023) (← links)
- Modelling microstructure noise with mutually exciting point processes (Q5746743) (← links)
- Derivatives pricing with marked point processes using tick-by-tick data (Q5746746) (← links)
