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題名 | Modelling Over-dispersion in Price Jumps Arrivals: A Comparison between Mixture of Poisson and Linear Hawkes Model=關於價格跳躍的過度離散程度:比較混合Poisson與線性Hawkes模型的實證研究 |
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作者 | 蔡秉真; Tsai, Ping-chen; |
期刊 | 中國統計學報 |
出版日期 | 20210600 |
卷期 | 59:2 2021.06[民110.06] |
頁次 | 頁98-128 |
分類號 | 314.8 |
語文 | eng |
關鍵詞 | 價格跳躍; 過度離散; 混合Poisson模型; 線性Hawkes模型; Price jumps; Over-dispersion; Mixture of poisson model; Linear hawkes model; |