Pages that link to "Item:Q5014205"
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The following pages link to Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205):
Displaying 6 items.
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics (Q4554209) (← links)
- Transform analysis for Hawkes processes with applications in dark pool trading (Q4554422) (← links)
- The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
- Exogenous and endogenous price jumps belong to different dynamical classes (Q5032079) (← links)
- Classification of flash crashes using the Hawkes<i>(p,q)</i>framework (Q5068081) (← links)
- Nonlinear Poisson autoregression and nonlinear Hawkes processes (Q6098998) (← links)