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Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
16 references·8 citing·42 second hop
Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models (2003)Modelling Security Market Events in Conti…Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Nonparametric Specification T…New frontiers for arch models (2002)New frontiers for arch modelsTime and the Price Impact of a Trade (2000)Time and the Price Impact of …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Market Microstructure Theory. (1996)Market Microstructure Theory.Market microstructure theory (1995)Market microstructure theoryTime and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Point Processes and Queues: Martingale Dynamics. 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References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 1981Point Processes and Queues1,652 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 1995Market microstructure theory1,305 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1996Market Microstructure Theory.1,152 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • n.d.The econometrics of ultra-high frequency data /784 cited
  • 2002New frontiers for arch models739 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data315 cited
  • 2004

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Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates
311 cited

Cited by

  • 2005Order aggressiveness and order book dynamics84 cited
  • 2005Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics76 cited
  • 2013Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets72 cited
  • 2007Modelling the buy and sell intensity in a limit order book market70 cited
  • 2017Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events33 cited
  • 2014Pricing and Hedging of Derivatives in Contagious Markets27 cited
  • 2020Disasters Everywhere: The Costs of Business Cycles Reconsidered17 cited
  • 2020Disasters Everywhere: The Costs of Business Cycles Reconsidered16 cited