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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, vol. 178(P1), pages 22-44.
  2. repec:wyi:wpaper:002024 is not listed on IDEAS
  3. BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," CORE Discussion Papers 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," Economics Papers 2004-W20, Economics Group, Nuffield College, University of Oxford.
  5. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, 08.
  6. Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics.
  7. Ting Wang & Mark Bebbington & David Harte, 2012. "Markov-modulated Hawkes process with stepwise decay," Annals of the Institute of Statistical Mathematics, Springer, vol. 64(3), pages 521-544, June.
  8. Yacine A\"it-Sahalia & T. R. Hurd, 2012. "Portfolio Choice in Markets with Contagion," Papers 1210.1598, arXiv.org.
  9. Hautsch, Nikolaus, 2007. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," CFS Working Paper Series 2007/25, Center for Financial Studies (CFS).
  10. 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.
  11. 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.
  12. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
  13. Jeremy Large, 2004. "Cancellation and Uncertainty Aversion on Limit Order Books," Economics Papers 2004-W05, Economics Group, Nuffield College, University of Oxford.
  14. Large, Jeremy, 2007. "Measuring the resiliency of an electronic limit order book," Journal of Financial Markets, Elsevier, vol. 10(1), pages 1-25, February.
  15. Adam E Clements & Yin Liao, 2013. "Modeling and forecasting realized volatility: getting the most out of the jump component," NCER Working Paper Series 93, National Centre for Econometric Research.
  16. Wu, Zhengxiao, 2012. "On the intraday periodicity duration adjustment of high-frequency data," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 282-291.
  17. Oliver Grothe & Volodymyr Korniichuk & Hans Manner, 2012. "Modeling Multivariate Extreme Events Using Self-Exciting Point Processes," Cologne Graduate School Working Paper Series 03-06, Cologne Graduate School in Management, Economics and Social Sciences, revised 20 Jun 2013.
  18. Volodymyr Korniichuk, 2012. "Forecasting extreme electricity spot prices," Cologne Graduate School Working Paper Series 03-14, Cologne Graduate School in Management, Economics and Social Sciences.
  19. repec:wyi:journl:002211 is not listed on IDEAS
  20. Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford.
  21. 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 101, National Centre for Econometric Research.
  22. Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January.
  23. 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.
  24. Clive Bowsher, 2004. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Model," Economics Series Working Papers 2003-W03, University of Oxford, Department of Economics.
  25. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
  26. 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, vol. 160(1), pages 176-189, January.
  27. Zhu, Lingjiong, 2013. "Moderate deviations for Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 885-890.
  28. Francine Gresnigt & Erik Kole & and Philip Hans Franses, 2014. "Interpreting Financial Market Crashes as Earthquakes: A New early Warning System for Medium Term Crashes," Tinbergen Institute Discussion Papers 14-067/III, Tinbergen Institute.
  29. Kehrle, Kerstin & Peter, Franziska J., 2013. "Who moves first? An intensity-based measure for information flows across stock exchanges," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1629-1642.
  30. 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.
  31. 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, vol. 6(22), pages 1-23.
  32. 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 1209, University of St. Gallen, School of Finance.
  33. Toke, Ioane Muni & Pomponio, Fabrizio, 2011. "Modelling trades-through in a limited order book using Hawkes processes," Economics Discussion Papers 2011-32, Kiel Institute for the World Economy.
  34. 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 1/14, Monash University, Department of Econometrics and Business Statistics.
  35. 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 212, United Nations Conference on Trade and Development.
  36. repec:hal:wpaper:hal-00777941 is not listed on IDEAS
  37. Thibault Jaisson & Mathieu Rosenbaum, 2013. "Limit theorems for nearly unstable Hawkes processes," Papers 1310.2033, arXiv.org.
  38. 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.
  39. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in transcation-level asset price models," Working Papers hal-00756372, HAL.
  40. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
  41. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  42. 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.
  43. Andr� A. Monteiro, 2008. "Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation," Tinbergen Institute Discussion Papers 08-021/2, Tinbergen Institute.
  44. Ioane Muni Toke & Fabrizio Pomponio, 2012. "Modelling Trades-Through in a Limit Order Book Using Hawkes Processes," Post-Print hal-00745554, HAL.
  45. Andre A. Monteiro, 2009. "The econometrics of randomly spaced financial data: a survey," Statistics and Econometrics Working Papers ws097924, Universidad Carlos III, Departamento de Estadística y Econometría.
  46. Clive Bowsher, 2002. "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Series Working Papers 2002-W22, University of Oxford, Department of Economics.