Výsledky vyhledávání - "Dunsmuir, William"

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Likelihood inference of the non-stationary Hawkes process with non-exponential kernel

Autor: Kwan, Tsz-Kit Jeffrey, Chen, Feng, Dunsmuir, William

The Hawkes process is a popular point process model for event sequences that exhibit temporal clustering. The intensity process of a Hawkes process consists of two components, the baseline intensity and the accumulated excitation effect due to past e

Externí odkaz: http://arxiv.org/abs/2408.09710

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Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes

Autor: Clinet, Simon, Dunsmuir, William T. M., Peters, Gareth W., Richards, Kylie-Anne

The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-squared. For local asymptotic power, the distribution against local alternat

Externí odkaz: http://arxiv.org/abs/1904.13147

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Akademický článek

Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo

Autor: Wee, Damien C.H., Chen, Feng, Dunsmuir, William T.M.

Publikováno v: In Econometrics and Statistics January 2022 21:50-68

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Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets

Autor: Richards, Kylie-Anne, Peters, Gareth W., Dunsmuir, William

This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of different exchan

Externí odkaz: http://arxiv.org/abs/1210.7215

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