Identification of almost unstable Hawkes processes

DOI10.5486/PMD.2011.4637MaRDI QIDQ4913491zbMATH OpenOpenAlexFDO

Authors Vilmos Prokaj, Balázs Torma

Publication date 5 April 2013

Published in Publicationes Mathematicae Debrecen (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5486/pmd.2011.4637

zbMATH Keywords

Fisher informationHawkes processself-exciting point processstability

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60) Stochastic models in economics (91B70)

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(3)

• Truncated Hawkes point process modeling: system theory and system identification
• Multivariate Hawkes processes: an application to financial data
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