Stochastic conditional intensity processes

Journal of Financial Econometrics

Volumn 4, Issue 3, 2006, Pages 450-493

  Bauwens, Luc ^a   Hautsch, Nikolaus ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Conditional intensity function; Efficient importance sampling; Multivariate point processes; Parameter driven and observation driven models; Price intensities

Indexed keywords

EID: 33748101597     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbj013     Document Type: Article

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