Kylie-Anne Richards

University of Technology Sydney (UTS) - UTS Business School

Sydney

Australia

University of New South Wales (UNSW) - School of Mathematics and Statistics

Sydney, 2052

Australia

Macquarie University

North Ryde

Sydney, New South Wales 2109

Australia

SCHOLARLY PAPERS

4

DOWNLOADS

176

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Heavy-Tailed Features and Dependence in Limit Order Book Volume Profiles in Futures Markets

Number of pages: 37 Posted: 22 May 2013 Last Revised: 05 May 2015
Kylie-Anne Richards, Gareth Peters and William Dunsmuir
University of Technology Sydney (UTS) - UTS Business School, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University of New South Wales
Downloads 125 (246,168)
Citation 3

Abstract:

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Limit order book, Futures markets, High frequency volume profiles, Microstructure, Heavy tail

2.

Score Test for Marks in Hawkes Processes

Number of pages: 43 Posted: 29 May 2019 Last Revised: 07 Feb 2020
Kylie-Anne Richards, William Dunsmuir and Gareth W. Peters
University of Technology Sydney (UTS) - UTS Business School, University of New South Wales and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 33 (492,328)

Abstract:

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Marked Hawkes point process, Score test statistic, Screening marks, High frequency financial data

3.

Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

Number of pages: 34 Posted: 13 May 2019
Simon Clinet, William Dunsmuir, Gareth Peters and Kylie-Anne Richards
Keio University - Faculty of Economics, University of New South Wales, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and University of Technology Sydney (UTS) - UTS Business School
Downloads 13 (612,252)
Citation 1

Abstract:

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Marked Hawkes point process, Ergodicity, Quasi likelihood, Score test, Inferential statistics, Local power

4.

Supplementary Materials for 'Score Test for Marks in Hawkes Processes'

Number of pages: 17 Posted: 04 Mar 2020
Kylie-Anne Richards, William Dunsmuir and Gareth W. Peters
University of Technology Sydney (UTS) - UTS Business School, University of New South Wales and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 5 (668,981)

Abstract:

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Marked Hawkes point process, Score test statistic, Screening marks, High frequency financial data