University of New South Wales
Limit order book, Futures markets, High frequency volume profiles, Microstructure, Heavy tail
Marked Hawkes point process, Score test statistic, Screening marks, High frequency financial data
Marked Hawkes point process, Ergodicity, Quasi likelihood, Score test, Inferential statistics, Local power
This is a Wiley Blackwell - Medium Tier paper. Wiley Blackwell - Medium Tier charges $49.00 .
File name: JTSA.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
binomial time series regression, parameter driven models, marginal likelihood
This page was processed by aws-apollo5 in 0.141 seconds