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Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data.
Iacopo Raffaelli
Simone Scotti
Giacomo Toscano
Published in:
Ann. Oper. Res. (2024)
Keyphrases
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goodness of fit
prior knowledge
training data
data points
data mining techniques
labeled data
machine learning
probabilistic model
probability distribution
markov chain
missing data
monte carlo
bayesian framework
stock price
chi square