Multivariate Hawkes processes: an application to financial data
From MaRDI portal
Recommendations
Cited in
(only showing first 100 items - show all)- Direct Likelihood Evaluation for the Renewal Hawkes Process
- Accelerating the estimation of renewal Hawkes self-exciting point processes
- Likelihood based inference for the multivariate renewal Hawkes process
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
- The Hawkes process with renewal immigration \& its estimation with an EM algorithm
- The microstructural foundations of leverage effect and rough volatility
- Integration by parts formulas for marked Hawkes processes
- Self-exciting jump processes with applications to energy markets
- Statistical inference for the doubly stochastic self-exciting process
- A switching self-exciting jump diffusion process for stock prices
- A Markov modulated dynamic contagion process with application to credit risk
- A bivariate shot noise self-exciting process for insurance
- Household lifetime strategies under a self-contagious market
- Scalable Bayesian inference for self-excitatory stochastic processes applied to big American gunfire data
- Averaging principles for Markovian models of plasticity
- A parameter estimation method for multivariate binned Hawkes processes
- Cluster point processes and Poisson thinning INARMA
- On the nonparametric inference of coefficients of self-exciting jump-diffusion
- Infinite-server systems with Hawkes arrivals and Hawkes services
- A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
- Modeling financial intraday jump tail contagion with high frequency data using mutually exciting Hawkes process
- Estimation, diagnostics, and extensions of nonparametric Hawkes processes with kernel functions
- Nonparametric Bayesian estimation for multivariate Hawkes processes
- Stability and mean-field limits of age dependent Hawkes processes
- Infinitely stochastic micro reserving
- Modelling of limit order books by general compound Hawkes processes with implementations
- Generalized evolutionary point processes: model specifications and model comparison
- Asymptotic distribution of the score test for detecting marks in Hawkes processes
- Recursive computation of the Hawkes cumulants
- Limit properties of continuous self-exciting processes
- Modeling extreme negative returns using marked renewal Hawkes processes
- Simultaneous multivariate Hawkes-type point processes and their application to financial markets
- Limit theorems for nearly unstable Hawkes processes
- Reactive point processes: a new approach to predicting power failures in underground electrical systems
- Impact of volatility clustering on equity indexed annuities
- Contagion modeling between the financial and insurance markets with time changed processes
- Some limit theorems for Hawkes processes and application to financial statistics
- Extreme-quantile tracking for financial time series
- Modelling dyadic interaction with Hawkes processes
- Modeling multivariate extreme events using self-exciting point processes
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- Hawkes processes in insurance: risk model, application to empirical data and optimal investment
- Moment generating function of non-Markov self-excited claims processes
- Construction and simulation of generalized multivariate Hawkes processes
- Structural credit risk modelling with Hawkes jump diffusion processes
- Asymptotic inference for jump diffusions with state-dependent intensity
- Modelling security market events in continuous time: intensity based, multivariate point process models
- scientific article; zbMATH DE number 6390866 (Why is no real title available?)
- Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
- Affine point processes: approximation and efficient simulation
- Bayesian inference for Hawkes processes
- A model for interest rates with clustering effects
- Performance of information criteria for selection of Hawkes process models of financial data
- Transform analysis for Hawkes processes with applications in dark pool trading
- Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
- Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
- Constant proportion portfolio insurance strategies in contagious markets
- Quadratic Hawkes processes for financial prices
- An estimation procedure for the Hawkes process
- Efficient Bayesian inference of sigmoidal Gaussian Cox processes
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
- Hawkes graphs
- Exploiting spillovers to forecast crashes
- Identification of almost unstable Hawkes processes
- Testing the causality of Hawkes processes with time reversal
- An extension of Hawkes processes with ephemeral nearest effects
- The limits of statistical significance of Hawkes processes fitted to financial data
- scientific article; zbMATH DE number 7387538 (Why is no real title available?)
- Self-exciting jump processes and their asymptotic behaviour
- Parameter Estimation of Binned Hawkes Processes
- Mean-variance portfolio selection in contagious markets
- State-dependent Hawkes processes and their application to limit order book modelling
- Fifty years later: new directions in Hawkes processes
- Clustering effects via Hawkes processes
- Clustered Lévy processes and their financial applications
- Efficient simulation of Lévy-driven point processes
- A scaling limit for limit order books driven by Hawkes processes
- Flexible statistical modelling of the occurrences of transcription factor binding sites along a DNA sequence
- A self-exciting switching jump diffusion: properties, calibration and hitting time
- The Hawkes process with different exciting functions and its asymptotic behavior
- Self-exciting piecewise linear processes
- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
- Online score statistics for detecting clustered change in network point processes
- A Conversation With Paul Embrechts
- Multivariate self-exciting jump processes with applications to financial data
- Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources
- Bayesian estimation of nonlinear Hawkes processes
- Doubly time-dependent Hawkes process and applications in failure sequence analysis
- Multivariate quadratic Hawkes processes—part I: theoretical analysis
- Bootstrap inference for Hawkes and general point processes
- Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity
- Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing
- Tail behavior of ACD models and consequences for likelihood-based estimation
- The multivariate generalized linear Hawkes process in high dimensions with applications in neuroscience
- A mutually exciting rough jump-diffusion for financial modelling
- Improvements on scalable stochastic Bayesian inference methods for multivariate Hawkes process
- Multivariate Hawkes processes with spatial covariates for spatiotemporal event data analysis
This page was built for publication: Multivariate Hawkes processes: an application to financial data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3094498)
