High-frequency financial data modeling using Hawkes processes
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DOI: 10.1016/j.jbankfin.2012.08.011
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More about this item
Keywords
Hawkes process; High-frequency data; Peaks-over-threshold; Self-exciting process; Value-at-risk;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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