Modelling financial high frequency data using point processes

Luc Bauwens and Nikolaus Hautsch

No 2123, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2009-01-01
Note: In : T.G. Andersen, R.A. Davis, J.-P. Kreiss, and T. Mikosch (eds.), Handbook of Financial Time Series. Springer-Verlag Heidelberg, 953-979, 2009
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Related works:
Working Paper: Modelling financial high frequency data using point processes (2007)
Working Paper: Modelling financial high frequency data using point processes (2006)
Working Paper: Modelling Financial High Frequency Data Using Point Processes (2006)
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