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An estimation procedure for the Hawkes process |
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| Authors: | Matthias Kirchner |
| Institution: | 1. RiskLab, Department of Mathematics, ETH Zurich, R?mistrasse 101, 8092 Zurich, Switzerland.matthias.kirchner@math.ethz.ch |
| Abstract: | |
| Keywords: | Multivariate Hawkes process Multivariate integer-valued autoregressive time series Conditional least-squares estimation Intraday financial econometrics |