Testing for self-excitation in jumps
type: Item
instance of: scholarly article
title: Testing for self-excitation in jumps
zbMATH Open document ID: 1386.62025
author: H. Peter Boswijk
author: Roger J. A. Laevent
author: Xiye Yang
published in: Journal of Econometrics
publication date: 2018-03-22T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6852113
zbMATH Keywords: self-excitation
zbMATH Keywords: jumps
zbMATH Keywords: semimartingale
zbMATH Keywords: spot jump intensity
zbMATH Keywords: discrete sampling
zbMATH Keywords: high frequency data
zbMATH Keywords: financial crisis
MaRDI profile type: Publication
full work available at URL: j.jeconom.2017.11.007
OpenAlex ID: W2784312476
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DOI: 10.1016/J.JECONOM.2017.11.007
description: scientific article; zbMATH DE number 6852113