The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
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Author / Producer
Date
2019
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
19 (7)
Pages / Article No.
1165 - 1178
Publisher
Routledge
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Hawkes process; Econometrics; High frequency financial data; Spurious inference; Non-stationarity; EM algorithm
Organisational unit
03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
Notes
Funding
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