Multivariate Hawkes processes: an application to financial data (Q3094498)

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Multivariate Hawkes processes: an application to financial data
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    Statements

    title
    Multivariate Hawkes processes: an application to financial data (English)
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    author
    Paul Embrechts
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    Thomas Liniger
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    Lu Lin
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    publication date
    25 October 2011
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    zbMATH Keywords
    point process
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    self-exciting
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    marks
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    Identifiers

    Mathematics Subject Classification ID
    62M09
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    60G55
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    62P05
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    62M30
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    91G70
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    zbMATH DE Number
    5963742
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