Original language | English |
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Article number | nbad021 |
Pages (from-to) | 1-32 |
Number of pages | 32 |
Journal | Journal of Financial Econometrics |
DOIs | |
Publication status | Published - 11 Aug 2023 |
Estimation of an Order Book Dependent Hawkes Process for Large Datasets
Luca Mucciante, Alessio Sancetta
Research output: Contribution to journal › Article › peer-review