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Bowsher, Clive G.'s
Scholarly Papers
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Aggregate Statistics
Total 924
Total Citations 45
1.
Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
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Bowsher, Clive G. Statistical Laboratory, University of Cambridge
Posted:
28 Jan 03
Last Revised:
03 Oct 06
327(43,567)
24
Bowsher, Clive G. Statistical Laboratory, University of Cambridge
129
24
point process, conditional intensity, Hawkes process, specification test, random time change, transactions data, market microstructure
Bowsher, Clive G. Statistical Laboratory, University of Cambridge
198
24
Point and counting processes, multivariate, intensity, Hawkes process, diagnostics, goodness-of-fit, specification tests, change of time, transactions data, NYSE, market microstructure
2.
Bowsher, Clive G. Statistical Laboratory, University of Cambridge
Meeks, Roland University of Oxford - Nuffield College
157(94,027)
1
yield curve, term structure, expectations theory, FSN models, functional time series, forecasting, state space form, cubic spline
3.
Bowsher, Clive G. Statistical Laboratory, University of Cambridge
Meeks, Roland University of Oxford - Nuffield College
155(95,143)
5
FSN-ECM models, functional time series, term structure, forecasting interest rates, natural cubic spline, state space form
4.
Bowsher, Clive G. Statistical Laboratory, University of Cambridge
148(99,168)
3
Functional time series, bid and ask curves, liquidity, electronic limit order book, cubic spline, state space form, Kalman filter, quasi-maximum likelihood
5.
Windmeijer, Frank University of Bristol - Department of Economics
Bond, Stephen R. Nuffield College
Bowsher, Clive G. Statistical Laboratory, University of Cambridge
93(142,078)
12
Generalised Method of Moments, Hypothesis testing, Panel data
6.
Bowsher, Clive G. Statistical Laboratory, University of Cambridge
Meeks, Roland University of Oxford - Nuffield College
44(211,811)
Term structure, yield curve, integration, expectations hypothesis
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