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Density estimation for compound Poisson processes from discrete data · Study

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ArticleDensity estimation for compound Poisson processes from discrete data

Céline Duval2013

OA

Articlebronze2013

Density estimation for compound Poisson processes from discrete data

35 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Statistical Methods and Inference Point processes and geometric inequalities

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References

1997Modelling Extremal Events 2008High-frequency trading in a limit order book 1997Estimation of an Ergodic Diffusion from Discrete Observations 2013Price Dynamics in a Markovian Limit Order Market 2005The application of continuous-time random walks in finance and economics 1992Estimation for diffusion processes from discrete observation 2006Coupled continuous time random walks in finance 1995Explosive Poisson Shot Noise Processes with Applications to Risk Reserves

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Year2013

Typearticle

Published2013-06-28

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2013.06.006

openalex_workW1972437599

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