William Dunsmuir

University of New South Wales

Professor of Statistics

Sydney, 2052

Australia

SCHOLARLY PAPERS

4

DOWNLOADS

422

SSRN CITATIONS

1

CROSSREF CITATIONS

3

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
University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School, University of California Santa Barbara and University of New South Wales
Downloads 197 (287,198)
Citation 3

Abstract:

Loading...

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

2.

Score Test for Marks in Hawkes Processes

Number of pages: 31 Posted: 29 May 2019 Last Revised: 22 Feb 2022
University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School, University of New South Wales and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 149 (365,656)
Citation 2

Abstract:

Loading...

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
Kepler Cheuvreux, University of New South Wales, University of California Santa Barbara and University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 49 (726,494)
Citation 1

Abstract:

Loading...

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: 24 Posted: 04 Mar 2020 Last Revised: 22 Feb 2022
University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School, University of New South Wales and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 27 (895,227)

Abstract:

Loading...

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