Non-stationary processes and their application to financial high-frequency data
The thesis is devoted to non-stationary point process models as generalizations of the standard homogeneous Poisson process. The work can be divided in two parts. In the first part, we introduce a fractional non-homogeneous Poisson process (FNPP) by applying a random time change to the standard Pois...
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University of Sussex
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.751903 |