Univariate Dynamic Intensity Models
Author:
Publisher
Springer Berlin Heidelberg
Link
http://link.springer.com/content/pdf/10.1007/978-3-642-21925-2_11
Reference18 articles.
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3. Brownlees C, Cipollini F, Gallo GM (2011) Intra-daily volume modeling and prediction for algorithmic trading. J Financ Econom 9:489–518
4. Daley D, Vere-Jones D (2005) An introduction to the theory of point processes. Volume I: Elementary theory and methods. Springer, New York
5. Ding Z, Granger CWJ (1996) Modeling volatility persistence of speculative returns: a new approach. J Econom 73:185–215
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