Modelling security market events in continuous time: Intensity based, multivariate point process models

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 876-912

  Bowsher, Clive G ^a  

^a NUFFIELD COLLEGE   (United Kingdom)

Author keywords

Conditional intensity; Hawkes process; Market microstructure; Point process; Random time change; Specification test; Transactions data

Indexed keywords

COMMERCE; DATA REDUCTION; FINANCE; MARKETING; MATHEMATICAL MODELS; SECURITY OF DATA;

CONDITIONAL INTENSITY; HAWKES PROCESS; MARKET MICROSTRUCTURE; RANDOM TIME CHANGE;

ECONOMIC ANALYSIS;

EID: 34848883614     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.11.007     Document Type: Article

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