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"Effective measure of endogeneity for the Autoregressive Conditional ..."

Vladimir Filimonov, Spencer Wheatley, Didier Sornette (2015)

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DOI: 10.1016/J.CNSNS.2014.08.042

access: closed

type: Journal Article

metadata version: 2020-07-21

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Vladimir Filimonov, Spencer Wheatley, Didier Sornette:
Effective measure of endogeneity for the Autoregressive Conditional Duration point processes via mapping to the self-excited Hawkes process. Commun. Nonlinear Sci. Numer. Simul. 22(Issues): 23-37 (2015)

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