Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205)
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scientific article; zbMATH DE number 7436798
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes |
scientific article; zbMATH DE number 7436798 |
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (English)
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1 December 2021
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Hawkes process
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integer-valued autoregressive process
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econometrics
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high frequency financial data
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market microstructure
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spurious inference
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nonstationarity
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EM algorithm
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