Hawkes-based models for high frequency financial data
Compared with low frequency data, high frequency data exhibit distinct empirical properties, including, for instance, essentially discontinuous evolution paths, time-varying intensities, and self-exciting features. All these make it more challenging to model appropriately the dynamics associated wit...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Springer Nature
2021
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| Online Access: | http://hdl.handle.net/20.500.11937/84729 |