Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process
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Author / Producer
Date
2015-05
Publication Type
Journal Article
ETH Bibliography
yes
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Altmetric
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Publication status
published
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Book title
Volume
22 (1-3)
Pages / Article No.
23 - 37
Publisher
Elsevier
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Point processes; Autoregressive Conditional Duration; Hawkes process; Branching processes; Self-excitation; Criticality; Tipping points; High-frequency data
Organisational unit
03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
Notes
Available online 16 September 2014.