Analysis of Branching Ratio of Telecommunication Stocks in Thailand Using Hawkes Process

DOI10.1007/978-3-319-13449-9_17zbMath1418.91638OpenAlexW139110560MaRDI QIDQ4558841

Niwattisaiwong Seksiri, N. Harnpornchai

Publication date: 30 November 2018

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

Full work available at URL: https://doi.org/10.1007/978-3-319-13449-9_17

zbMATH Keywords

endogeneitystock pricebranching ratiounivariate Hawkes process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial science and mathematical finance (91G99)

Cites Work

• Maximum likelihood estimation of Hawkes' self-exciting point processes
• Modelling security market events in continuous time: intensity based, multivariate point process models
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• An Introduction to the Theory of Point Processes
• Spectra of some self-exciting and mutually exciting point processes

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