Multivariate Hawkes process allowing for common shocks
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Cites work
- A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
- A bivariate shot noise self-exciting process for insurance
- A cluster process representation of a self-exciting process
- A dynamic contagion process
- A model for interest rates with clustering effects
- Affine point processes and portfolio credit risk
- An elementary derivation of moments of Hawkes processes
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
- Bayesian estimation of nonlinear Hawkes processes
- Efficient simulation of clustering jumps with CIR intensity
- Exact simulation of Hawkes process with exponentially decaying intensity
- Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
- Gaussian approximation of nonlinear Hawkes processes
- High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
- scientific article; zbMATH DE number 3378360 (Why is no real title available?)
- Moments for Hawkes processes with gamma decay kernel functions
- Multivariate Hawkes processes: an application to financial data
- Nonparametric Bayesian estimation for multivariate Hawkes processes
- Numerical method for means of linear Hawkes processes
- Partial self-exciting point processes and their parameter estimations
- Performance of information criteria for selection of Hawkes process models of financial data
- Precise deviations for Hawkes processes
- Queues driven by Hawkes processes
- Self-exciting point process modeling of crime
- Some asymptotic results for nonlinear Hawkes processes
- Some counting and interval properties of the mutually-exciting processes
- Spectra of some self-exciting and mutually exciting point processes
- State-dependent Hawkes processes and their application to limit order book modelling
- The role of volume in order book dynamics: a multivariate Hawkes process analysis
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