An estimation procedure for the Hawkes process
METADATA ONLY
Loading...
Author / Producer
Date
2017-04
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
17 (4)
Pages / Article No.
571 - 595
Publisher
Routledge
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Multivariate Hawkes process; Multivariate integer-valued autoregressive time series; Conditional least-squares estimation; Intraday financial econometrics; C13; C14; C22; C51
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Published online 12 September 2016.