Estimation of Correlation Between Latent Processes
Author:
Publisher
Springer International Publishing
Link
http://link.springer.com/content/pdf/10.1007/978-3-319-45875-5_6
Reference41 articles.
1. Abergel, F., Huth, N.: High frequency lead/lag relationships. Empirical Facts (2012)
2. Abergel, F., Jedidi, A.: A mathematical approach to order book modeling. Int. J. Theor. Appl. Financ. 16(05), 1350,025 (2013)
3. Abergel, F., Jedidi, A.: Long-time behavior of a Hawkes process-based limit order book. SIAM J. Finan. Math. 6(1), 1026–1043 (2015)
4. Bacry, E., Delattre, S., Hoffmann, M., Muzy, J.F.: Modelling microstructure noise with mutually exciting point processes. Quant. Financ. 13(1), 65–77 (2013)
5. Bibinger, M.: Efficient covariance estimation for asynchronous noisy high-frequency data. Scand. J. Stat. 38(1), 23–45 (2011)
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A Tale of Two Time Scales: Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline;SSRN Electronic Journal;2022
2. Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps*;Journal of Financial Econometrics;2020-11-19
3. Confidence interval for correlation estimator between latent processes;Japanese Journal of Statistics and Data Science;2019-03-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3