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Modelling Irregularly Spaced Financial Data pp 193–254Cite as

Univariate and Multivariate Dynamic Intensity Models

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Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 539))

Abstract

In this chapter, we discuss dynamic parameterizations of the intensity function. The important difference between this and the previous chapter is that here we focus on fully parametric models for the intensity function. Baseline intensity components are completely specified, and thus, a dynamic model is built directly on the intensity function instead of on the integrated intensity function. A direct parameterization of the intensity in a continuous-time framework is a valuable approach in order to account for time-varying covari-ates and multivariate structures.

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References

  1. For example, such a process might be associated with the arrival of new orders in the market.

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  2. See, for example, Hawkes (1971), Hawkes and Oakes (1974) or Cox and Isham (1980).

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  3. In other words, the pooled process is a simple point process.

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  4. See also Bowsher (2002).

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  5. For ease of illustration, we restrict our consideration to a lag order of one. The extension to higher order specifications is straightforward.

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  6. With the exception of the most simple case of a constant baseline intensity function.

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  7. For more details, see Hawkes (1971).

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  8. See Section 5.3.3 in Chapter 5.

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Authors and Affiliations

  1. Institute of Economics, University of Copenhagen, Studiestraede 6, 1455, Copenhagen K, Denmark

    Nikolaus Hautsch

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  1. Nikolaus Hautsch
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© 2004 Springer-Verlag Berlin Heidelberg

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Hautsch, N. (2004). Univariate and Multivariate Dynamic Intensity Models. In: Modelling Irregularly Spaced Financial Data. Lecture Notes in Economics and Mathematical Systems, vol 539. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-17015-7_7

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  • DOI: https://doi.org/10.1007/978-3-642-17015-7_7

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-21134-1

  • Online ISBN: 978-3-642-17015-7

  • eBook Packages: Springer Book Archive

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