Stochastic conditional intensity processes

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Standard

Stochastic conditional intensity processes. / Bauwens, Luc; Hautsch, Nikolaus.

I: Journal of Financial Econometrics, Bind 4, Nr. 3, 2006, s. 450-493.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Bauwens, L & Hautsch, N 2006, 'Stochastic conditional intensity processes', Journal of Financial Econometrics, bind 4, nr. 3, s. 450-493. https://doi.org/10.1093/jjfinec/nbj013

APA

Bauwens, L., & Hautsch, N. (2006). Stochastic conditional intensity processes. Journal of Financial Econometrics, 4(3), 450-493. https://doi.org/10.1093/jjfinec/nbj013

Vancouver

Bauwens L, Hautsch N. Stochastic conditional intensity processes. Journal of Financial Econometrics. 2006;4(3):450-493. https://doi.org/10.1093/jjfinec/nbj013

Author

Bauwens, Luc ; Hautsch, Nikolaus. / Stochastic conditional intensity processes. I: Journal of Financial Econometrics. 2006 ; Bind 4, Nr. 3. s. 450-493.

Bibtex

@article{3e15ccd089df11dbbee902004c4f4f50,
title = "Stochastic conditional intensity processes",
abstract = "In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell{\textquoteright}s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process",
keywords = "Faculty of Social Sciences, conditional intensity function, multivariate point processes, price intensities",
author = "Luc Bauwens and Nikolaus Hautsch",
note = "JEL Classification: G12",
year = "2006",
doi = "10.1093/jjfinec/nbj013",
language = "English",
volume = "4",
pages = "450--493",
journal = "Journal of Financial Econometrics",
issn = "1479-8409",
publisher = "Oxford University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Stochastic conditional intensity processes

AU - Bauwens, Luc

AU - Hautsch, Nikolaus

N1 - JEL Classification: G12

PY - 2006

Y1 - 2006

N2 - In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell’s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process

AB - In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell’s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process

KW - Faculty of Social Sciences

KW - conditional intensity function

KW - multivariate point processes

KW - price intensities

U2 - 10.1093/jjfinec/nbj013

DO - 10.1093/jjfinec/nbj013

M3 - Journal article

VL - 4

SP - 450

EP - 493

JO - Journal of Financial Econometrics

JF - Journal of Financial Econometrics

SN - 1479-8409

IS - 3

ER -

ID: 313941