The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105): Difference between revisions

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+Modelling microstructure noise with mutually exciting point processes
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+Hawkes model for price and trades high-frequency dynamics
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+First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
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+Modelling systemic price cojumps with Hawkes factor models
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+Modelling security market events in continuous time: intensity based, multivariate point process models
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+A Limited Memory Algorithm for Bound Constrained Optimization
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+Estimating value-at-risk: a point process approach
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+Maximum likelihood identification of neural point process systems
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+Hawkes branching point processes without ancestors
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+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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+Affine Point Processes and Portfolio Credit Risk
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+Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
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+Spectra of some self-exciting and mutually exciting point processes
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+Limit theorems for nearly unstable Hawkes processes
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+Long-Time Behavior of a Hawkes Process--Based Limit Order Book
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+On a measure of lack of fit in time series models
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+Self-Exciting Point Process Modeling of Crime
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+Maximum likelihood estimation of Hawkes' self-exciting point processes
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+Adaptive estimation for Hawkes processes; application to genome analysis
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+Q5649230
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