STAT244.Lecture.03 9

STAT244.Lecture.03 9 - t ) > N ( t ) | past ) t...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Econometrics Frameworks: I N ( t ), number of event arrivals occured at t . I Model, f ( t N ( t )+1 , y N ( t )+1 | past ). I Questions: When will the next event happen? What will be the value of the mark? etc I Key: Hazard: lim Δ t 0 P ( N ( t + Δ
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: t ) > N ( t ) | past ) t = ( t | past ) I When ( t ) = , homogeneous point process; durations are independent a feature does not hold for stock market....
View Full Document

This note was uploaded on 10/16/2010 for the course STAT 244 taught by Professor Dr.velu during the Summer '10 term at Stanford.

Ask a homework question - tutors are online