Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
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Author / Producer
Date
2015-08
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
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Journal / series
Volume
15 (8)
Pages / Article No.
1293 - 1314
Publisher
Routledge
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Edition / version
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Software
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Date collected
Date created
Subject
Hawkes process; Poisson process; Endogeneity; Reflexivity; Branching ratio; Outliers; Memory kernel; High-frequency data; Critically; Statistical biases; Power laws; Regime shifts; C14; C15; C41; C63; G12; G14
Organisational unit
03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
Notes
Published online by Taylor & Francis. Received 11 November 2013, Accepted 10 November 2014, Published online 11 May 2015.