William Dunsmuir

University of New South Wales

Professor of Statistics

Sydney, 2052

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

177

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (5)

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 (246,491)
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 (492,993)

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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
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 (613,236)
Citation 1

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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 (670,122)

Abstract:

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

5.

Marginal Estimation of Parameter Driven Binomial Time Series Models

Journal of Time Series Analysis, Vol. 38, Issue 1, pp. 120-144, 2017
Number of pages: 25 Posted: 07 Jan 2017 Last Revised: 27 May 2020
William Dunsmuir and Jieyi He
University of New South Wales and UNSW Business School
Downloads 1 (708,149)
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Abstract:

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binomial time series regression, parameter driven models, marginal likelihood