Modelling microstructure noise with mutually exciting point...

Quantitative Finance 2013 / 01 Vol. 13; Iss. 1

Modelling microstructure noise with mutually exciting point processes

Bacry, E., Delattre, S., Hoffmann, M., Muzy, J. F.
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Volume:
13
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2011.647054
Date:
January, 2013
File:
PDF, 507 KB
english, 2013
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