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A marked point process model for intraday financial returns: modeling extreme risk.

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Bibliographic Details
Title: A marked point process model for intraday financial returns: modeling extreme risk.
Authors: Herrera, Rodrigo1 (AUTHOR) rodrigo.herrera@utalca.cl, Clements, Adam2 (AUTHOR)
Source: Empirical Economics. Apr2020, Vol. 58 Issue 4, p1575-1601. 27p. 1 Diagram, 10 Charts, 1 Graph.
Database: Business Source Ultimate
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ISSN:03777332
DOI:10.1007/s00181-018-1600-y