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dc.contributor.author
Filimonov, Vladimir
dc.contributor.author
Wheatley, Spencer
dc.contributor.author
Sornette, Didier
dc.date.accessioned
2017-06-11T15:04:20Z
dc.date.available
2017-06-11T15:04:20Z
dc.date.issued
2015-05
dc.identifier.issn
1007-5704
dc.identifier.other
10.1016/j.cnsns.2014.08.042
dc.identifier.uri
http://hdl.handle.net/20.500.11850/95334
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
Point processes
dc.subject
Autoregressive Conditional Duration
dc.subject
Hawkes process
dc.subject
Branching processes
dc.subject
Self-excitation
dc.subject
Criticality
dc.subject
Tipping points
dc.subject
High-frequency data
dc.title
Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process
dc.type
Journal Article
ethz.journal.title
Communications in nonlinear science and numerical simulation
ethz.journal.volume
22
ethz.journal.issue
1-3
ethz.pages.start
23
ethz.pages.end
37
ethz.notes
Available online 16 September 2014.
ethz.identifier.wos
ethz.identifier.nebis
004376364
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03738 - Sornette, Didier / Sornette, Didier
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03738 - Sornette, Didier / Sornette, Didier
ethz.date.deposited
2017-06-11T15:05:04Z
ethz.source
ECIT
ethz.identifier.importid
imp593652bd4e59491906
ethz.ecitpid
pub:149542
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-18T12:44:29Z
ethz.rosetta.lastUpdated
2018-12-02T06:24:10Z
ethz.rosetta.versionExported
true
ethz.COinS
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