Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

European Physical Journal B

Volumn 85, Issue 5, 2012, Pages

  Bacry, E ^a   Dayri, K ^a   Muzy, J F ^a,b  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b UNIVERSITÉ DE CORSE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION FUNCTION; EMPIRICAL STUDIES; ESTIMATION ERRORS; FINANCIAL DATA; HIGH FREQUENCY; KERNEL ESTIMATION; KERNEL MATRICES; LONG MEMORIES; MINIMAL PHASE; NON-PARAMETRIC; NON-PARAMETRIC ESTIMATIONS; POWER-LAW; PRICE DYNAMICS; SECOND ORDERS; SELF EXCITATION; SQUARE ROOTS; STATISTICAL PROPERTIES;

CONDENSED MATTER PHYSICS; PHYSICS;

COVARIANCE MATRIX;

EID: 84862007120     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2012-21005-8     Document Type: Article

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