Stochastic conditional intensity processes
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Stochastic conditional intensity processes. / Bauwens, Luc; Hautsch, Nikolaus.
In: Journal of Financial Econometrics, Vol. 4, No. 3, 2006, p. 450-493.Research output: Contribution to journal › Journal article › Research › peer-review
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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