Work

High-frequency financial data modeling using Hawkes processes

Year: 2012

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2012.08.011

Authors: V. Chavez-Demoulin, J.A. McGill

Institutions: University of Lausanne, University of Geneva

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2041908999

FWCI: 14.88

Cites: 27

Cited by: 153

Related to: 10