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Citations for "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models"

by Clive Bowsher

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  1. Chen, Bin & Hong, Yongmiao, 2014. "A unified approach to validating univariate and multivariate conditional distribution models in time series," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P1), pages 22-44.
  2. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print, HAL hal-00777941, HAL.
  3. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers, Economics Group, Nuffield College, University of Oxford 2004-W20, Economics Group, Nuffield College, University of Oxford.
  4. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers, Tinbergen Institute 14-067/III, Tinbergen Institute.
  5. Ban Zheng & Fran\c{c}ois Roueff & Fr\'ed\'eric Abergel, 2013. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Papers 1301.5007, arXiv.org, revised Feb 2014.
  6. Toke, Ioane Muni & Pomponio, Fabrizio, 2011. "Modelling trades-through in a limited order book using Hawkes processes," Economics Discussion Papers, Kiel Institute for the World Economy 2011-32, Kiel Institute for the World Economy.
  7. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers, Economics Group, Nuffield College, University of Oxford 2005-W16, Economics Group, Nuffield College, University of Oxford.
  8. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers, University of Copenhagen. Department of Economics 04-07, University of Copenhagen. Department of Economics.
  9. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," SFB 649 Discussion Papers SFB649DP2007-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Zhu, Lingjiong, 2013. "Moderate deviations for Hawkes processes," Statistics & Probability Letters, Elsevier, Elsevier, vol. 83(3), pages 885-890.
  11. Adam E Clements & Yin Liao, 2013. "Modeling and forecasting realized volatility: getting the most out of the jump component," NCER Working Paper Series, National Centre for Econometric Research 93, National Centre for Econometric Research.
  12. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006039, Université catholique de Louvain, Département des Sciences Economiques.
  13. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, Springer, vol. 1(3), pages 293-326, 08.
  14. Ioane Muni Toke & Fabrizio Pomponio, 2012. "Modelling Trades-Through in a Limit Order Book Using Hawkes Processes," Post-Print, HAL hal-00745554, HAL.
  15. repec:wyi:journl:002211 is not listed on IDEAS
  16. Andre A. Monteiro, 2009. "The econometrics of randomly spaced financial data: a survey," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws097924, Universidad Carlos III, Departamento de Estadística y Econometría.
  17. Jang, Jiwook & Dassios, Angelos, 2013. "A bivariate shot noise self-exciting process for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 524-532.
  18. Vladimir Filimonov & David Bicchetti & Nicolas Maystre, 2013. "Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets," UNCTAD Discussion Papers, United Nations Conference on Trade and Development 212, United Nations Conference on Trade and Development.
  19. Clive Bowsher, 2002. "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Series Working Papers, University of Oxford, Department of Economics 2002-W22, University of Oxford, Department of Economics.
  20. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
  21. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
  22. Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers, University of Copenhagen. Department of Economics. Finance Research Unit 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit.
  23. repec:hal:wpaper:hal-00777941 is not listed on IDEAS
  24. Oliver Grothe & Volodymyr Korniichuk & Hans Manner, 2012. "Modeling Multivariate Extreme Events Using Self-Exciting Point Processes," Cologne Graduate School Working Paper Series, Cologne Graduate School in Management, Economics and Social Sciences 03-06, Cologne Graduate School in Management, Economics and Social Sciences, revised 20 Jun 2013.
  25. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in transcation-level asset price models," Working Papers, HAL hal-00756372, HAL.
  26. Clive Bowsher, 2002. "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford 2002-W22, Economics Group, Nuffield College, University of Oxford.
  27. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  28. Kehrle, Kerstin & Peter, Franziska J., 2013. "Who moves first? An intensity-based measure for information flows across stock exchanges," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(5), pages 1629-1642.
  29. Yacine A\"it-Sahalia & T. R. Hurd, 2012. "Portfolio Choice in Markets with Contagion," Papers 1210.1598, arXiv.org.
  30. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 176-189, January.
  31. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, Elsevier, vol. 10(1), pages 1-25, February.
  32. Wu, Zhengxiao, 2012. "On the intraday periodicity duration adjustment of high-frequency data," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(2), pages 282-291.
  33. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  34. Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series, National Centre for Econometric Research 101, National Centre for Econometric Research.
  35. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 1/14, Monash University, Department of Econometrics and Business Statistics.
  36. Jeremy Large, 2004. "Cancellation and uncertainty aversion on limit order books," OFRC Working Papers Series, Oxford Financial Research Centre 2004fe04, Oxford Financial Research Centre.
  37. repec:wyi:wpaper:002024 is not listed on IDEAS
  38. Ting Wang & Mark Bebbington & David Harte, 2012. "Markov-modulated Hawkes process with stepwise decay," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 64(3), pages 521-544, June.
  39. Thibault Jaisson & Mathieu Rosenbaum, 2013. "Limit theorems for nearly unstable Hawkes processes," Papers 1310.2033, arXiv.org.
  40. Volodymyr Korniichuk, 2012. "Forecasting extreme electricity spot prices," Cologne Graduate School Working Paper Series, Cologne Graduate School in Management, Economics and Social Sciences 03-14, Cologne Graduate School in Management, Economics and Social Sciences.
  41. Andr� A. Monteiro, 2008. "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute 08-021/2, Tinbergen Institute.
  42. Toke, Ioane Muni & Pomponio, Fabrizio, 2012. "Modelling trades-through in a limit order book using hawkes processes," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, Kiel Institute for the World Economy, vol. 6(22), pages 1-23.
  43. Ioane Muni Toke, 2010. ""Market making" behaviour in an order book model and its impact on the bid-ask spread," Papers 1003.3796, arXiv.org, revised Jun 2010.
  44. Kohler, Alexander & von Wyss, Rico, 2012. "Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID," Working Papers on Finance, University of St. Gallen, School of Finance 1209, University of St. Gallen, School of Finance.
  45. Clive Bowsher, 2004. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Model," Economics Series Working Papers, University of Oxford, Department of Economics 2003-W03, University of Oxford, Department of Economics.
  46. Vladimir Filimonov & Didier Sornette, 2013. "Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data," Papers 1308.6756, arXiv.org, revised Jul 2014.