Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2015.1123287
Reference38 articles.
1. Aït-Sahalia, Y., Cacho-Diaz, J. and Laeven, R.J., Modeling financial contagion using mutually exciting jump processes. Technical report, National Bureau of Economic Research, 2010.
2. Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data
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4. Hawkes model for price and trades high-frequency dynamics
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