Multivariate dynamic intensity peaks‐over‐threshold models-Reference-Cited by-同舟云学术

Multivariate dynamic intensity peaks‐over‐threshold models

Published:2019-12-11 Issue:2 Volume:35 Page:248-272
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J Appl Econ

Author:

Hautsch Nikolaus¹²,Herrera Rodrigo³

Affiliation:

1. Department of Statistics and Operations ResearchUniversity of Vienna, Research Platform “Data Science @ Uni Vienna”, Vienna Graduate School of Finance Vienna Austria

2. Center for Financial Studies Frankfurt Germany

3. Facultad de Economía y NegociosUniversidad de Talca Talca Chile

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2741

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4. Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

5. Modelling microstructure noise with mutually exciting point processes

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