Econometrics of Financial High-Frequency Data

By Nikolaus Hautsch. 2011

185 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/09f05765dc42615e2581edf76b1773339bf6b7ed

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Thomas Taimre
2. P. Pollett
3. Patrick J. Laub

In Finance

1. Thomas Taimre
2. P. Pollett
3. Patrick J. Laub

Citations in the corpus

• Hawkes Processes (2015, methodology): “A common choice for the excitation function is one of exponential decay; Hawkes [4] originally used this form as it simplified his theoretical derivations [17].”