Journal ArticleDOI
Dynamic latent factor models for intensity processes
TLDR
Applications of univariate and bivariate LFI models to transaction data extracted from the German XETRA trading system provide evidence for an improvement of the econometric specification when observable as well as unobservable dynamic components are taken into account.Abstract:
This paper introduces a new framework for the dynamic modelling of univariate and multivariate point processes. The so-called latent factor intensity (LFI) model is based on the assumption that the intensity function consists of univariate or multivariate observation driven dynamic components and a univariate dynamic latent factor. In this sense, the model corresponds to a dynamic extension of a doubly stochastic Poisson process. We illustrate alternative parameterizations of the observation driven component based on autoregressive conditional intensity (ACI) specifications, as well as Hawkes types models. Based on simulation studies, it is shown that the proposed model provides a flexible tool to capture the joint dynamics of multivariate point processes. Since the latent component has to be integrated out, the model is estimated by simulated maximum likelihood based upon efficient importance sampling techniques. Applications of univariate and bivariate LFI models to transaction data extracted from the German XETRA trading system provide evidence for an improvement of the econometric specification when observable as well as unobservable dynamic components are taken into account.read more
Citations
More filters
Journal ArticleDOI
Measuring the resiliency of an electronic limit order book
TL;DR: A continuous-time impulse response function based on intensities is suggested, which formalizes resiliency in terms of a time-frame and probability of order book replenishment.
Journal ArticleDOI
Properties of Realized Variance Under Alternative Sampling Schemes
TL;DR: In this paper, the authors investigated the statistical properties of the realized variance estimator in the presence of market microstructure noise and found that transaction time sampling is generally superior to the common practice of calendar time sampling in that it leads to a lower mean squared error (MSE) of the estimated variance.
Journal ArticleDOI
The Multi-state Latent Factor Intensity Model for Credit Rating Transitions
Siem Jan Koopman,Siem Jan Koopman,Andre Lucas,Andre Lucas,Andre A. Monteiro,Andre A. Monteiro +5 more
TL;DR: In this paper, a new empirical reduced-form model for credit rating transitions is introduced, which is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors.
Journal ArticleDOI
Limit theorems for nearly unstable Hawkes processes
TL;DR: In this article, the authors studied nearly unstable Hawkes processes for which the stability condition is almost violated and showed that they asymptotically behave like integrated Cox-Ingersoll-Ross models.
Journal ArticleDOI
The microstructural foundations of leverage effect and rough volatility
TL;DR: It is shown that at least part of the foundations of leverage effect and rough volatility can be found in the microstructure of the asset and behaves in the long run as a Heston stochastic volatility model, where a leverage effect is generated.
References
More filters
Journal ArticleDOI
A subordinated stochastic process model with finite variance for speculative prices
TL;DR: In this article, a general class of finite-variance distributions for price changes is described, and a member of this class, the lognormal-normal, is tested against previously proposed distributions for speculative price differences.
Book
Non-linear time series. A dynamical system approach
TL;DR: Non-linear least-squares prediction based on non-linear models and case studies and an introduction to dynamical systems.
Journal ArticleDOI
Spectra of some self-exciting and mutually exciting point processes
TL;DR: In this paper, the theoretical properties of a class of processes with particular reference to the point spectrum or corresponding covariance density functions are discussed and a particular result is a self-exciting process with the same second-order properties as a certain doubly stochastic process.
Journal ArticleDOI
Autoregressive conditional duration: a new model for irregularly spaced transaction data
TL;DR: In this article, an autoregressive conditional duration (ACD) model is proposed for the analysis of data which arrive at irregular intervals, which treats the time between events as a stochastic process and proposes a new class of point processes with dependent arrival rates.
Journal ArticleDOI
Nonparametric Inference for a Family of Counting Processes
TL;DR: In this article, the authors give an application of the recently developed martingale-based approach to the study of multivariate counting processes via $\mathbf{N}$ via ''mathbf{\Lambda''.