Modelling security market events in continuous time: intensity based, multivariate point process models

DOI10.1016/j.jeconom.2006.11.007zbMath1418.62375OpenAlexW3126099958MaRDI QIDQ289187

Clive G. Bowsher

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.11.007

zbMATH Keywords

point processrandom time changemarket microstructurespecification testHawkes processconditional intensitytransactions data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Uses Software

• Ox

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