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Dynamic latent factor models for intensity processes. (2003). Hautsch, Nikolaus ; Bauwens, Luc.
In: CORE Discussion Papers.
RePEc:cor:louvco:2003103.

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  1. The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z.

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  2. Cross-sectional universalities in financial time series. (2015). Zumbach, Gilles .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:12:p:1901-1912.

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  3. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Zheng, Ban ; Abergel, Frederic ; Roueff, Franois .
    In: Post-Print.
    RePEc:hal:journl:hal-00777941.

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  4. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Zheng, Ban ; Roueff, Franccois ; Fr'ed'eric Abergel, .
    In: Papers.
    RePEc:arx:papers:1301.5007.

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  5. Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2013). Zheng, Ban ; Abergel, Frederic ; Roueff, Franois .
    In: Working Papers.
    RePEc:hal:wpaper:hal-00777941.

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  6. The multi-state latent factor intensity model for credit rating transitions. (2008). Monteiro, Andre ; Lucas, Andre ; Koopman, Siem Jan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:142:y:2008:i:1:p:399-424.

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  7. Measuring the resiliency of an electronic limit order book. (2007). Large, Jeremy.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:1:p:1-25.

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  8. Improving MCMC Using Efficient Importance Sampling. (2006). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Economics Working Papers.
    RePEc:zbw:cauewp:4349.

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  9. Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. (2006). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:335-360.

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  10. Order aggressiveness and order book dynamics. (2006). Hall, Anthony ; Hautsch, Nikolaus.
    In: Empirical Economics.
    RePEc:spr:empeco:v:30:y:2006:i:4:p:973-1005.

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  11. Stochastic Conditional Intensity Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493.

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  12. The Multi-State Latent Factor Intensity Model for Credit Rating Transitions. (2005). Lucas, Andre ; Koopman, Siem Jan ; André Lucas, ; André Monteiro, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050071.

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  13. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models. (2005). Bowsher, Clive ; Tyson, Christopher J..
    In: Economics Papers.
    RePEc:nuf:econwp:0526.

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  14. An Empirical Model for Durations in Stocks. (2005). Simonsen, Ola.
    In: Umeå Economic Studies.
    RePEc:hhs:umnees:0657.

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  15. Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. (2004). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Economics Working Papers.
    RePEc:zbw:cauewp:2443.

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  16. Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model.. (2004). Heinen, Andréas ; Grammig, Joachim ; Rengifo, Erick .
    In: MPRA Paper.
    RePEc:pra:mprapa:8115.

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  17. Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models. (2004). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Working Paper.
    RePEc:pit:wpaper:322.

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  18. Order Aggressiveness and Order Book Dynamics. (2004). Hall, Anthony ; Hautsch, Nikolaus.
    In: FRU Working Papers.
    RePEc:kud:kuiefr:200504.

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  19. Trading activity and liquidity supply in a pure limit order book market. (2004). Heinen, Andréas ; Grammig, Joachim ; Rengifo, Erick .
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2004058.

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References

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  2. The Dyanamic Location/Scale Model: with applications to intra-day financial data. (2012). Harvey, Andrew ; Andres, Philipp.
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  3. Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market. (2011). Bień-Barkowska, Katarzyna.
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  4. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
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  5. Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market. (2009). McAleer, Michael ; Allen, David ; Lazarov, Zdravetz ; Peiris, Shelton.
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  12. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Luc, Bauwens ; Nikolaus, HAUTSCH.
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