Estimation of an Order Book Dependent Hawkes Process for Large Datasets

Luca Mucciante, Alessio Sancetta

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Article numbernbad021
Pages (from-to)1-32
Number of pages32
JournalJournal of Financial Econometrics
DOIs
Publication statusPublished - 11 Aug 2023

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