Effective measure of endogeneity for the Autoregressive...

Communications in Nonlinear Science and Numerical Simulation 2015 / 05 Vol. 22; Iss. 1-3

Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process

Filimonov, Vladimir, Wheatley, Spencer, Sornette, Didier
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Volume:
22
Language:
english
Journal:
Communications in Nonlinear Science and Numerical Simulation
DOI:
10.1016/j.cnsns.2014.08.042
Date:
May, 2015
File:
PDF, 726 KB
english, 2015
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