Multivariate self-exciting jump processes with applications to financial data
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Publication:6103234
DOI10.3150/22-bej1537arXiv2108.10176OpenAlexW3195772548MaRDI QIDQ6103234
Dag Tjøstheim, Heidar Eyjolfsson
Publication date: 2 June 2023
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.10176
Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx) Stochastic processes (60Gxx)
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