Performance of information criteria for selection of Hawkes process models of financial data
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DOI: 10.1080/14697688.2017.1403140
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Cited by:
- Chiu, Hsin-Yu & Chen, Ting-Fu, 2020. "Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Bautista, Lucía & Castro, Inma T. & Landesa, Luis, 2022. "Condition-based maintenance for a system subject to multiple degradation processes with stochastic arrival intensity," European Journal of Operational Research, Elsevier, vol. 302(2), pages 560-574.
- Lirong Cui & Bei Wu & Juan Yin, 2022. "Moments for Hawkes Processes with Gamma Decay Kernel Functions," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1565-1601, September.
- Stindl, Tom, 2023. "Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 182-198.
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