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- W2126753346 abstract "Definitions from the theory of point processes are recalled. Models of inten- sity function paramaterization and maximum likelihood estimation from data are explored. Closed-form log-likelihood expressions are given for the Hawkes (unidimensional and multidi- mensional)process, Autoregressive Conditional Duration(ACD), and Log-ACD models. The Autoregressive Conditional Intensity model is also discussed. Data from the symbol SPY on the Nasdaq stock market on Oct 22nd, 2012 is used to estimate model parameters and generate illustrative plots." @default.
- W2126753346 created "2016-06-24" @default.
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- W2126753346 date "2012-01-01" @default.
- W2126753346 modified "2023-09-24" @default.
- W2126753346 title "Point Process Models for Multivariate High-Frequency Irreg- ularly Spaced Data" @default.
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