Modeling extreme negative returns using marked renewal Hawkes processes

DOI10.1007/s10687-019-00352-4zbMath1434.62177OpenAlexW2950955036WikidataQ127654669 ScholiaQ127654669MaRDI QIDQ2283055

Tom Stindl, Feng Chen

Publication date: 27 December 2019

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-019-00352-4

zbMATH Keywords

forecastmarked point processgoodness-of-fitfinancerisk measuresself-exciting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

Accelerating the estimation of renewal Hawkes self-exciting point processes

Uses Software

• R
• QRM

Cites Work

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• Likelihood based inference for the multivariate renewal Hawkes process
• Hawkes and INAR(\(\infty\)) processes
• A note on a simple Markov bilinear stochastic process
• The Hawkes process with renewal immigration \& its estimation with an EM algorithm
• Multivariate Hawkes processes: an application to financial data
• A new look at time series of counts
• An Introduction to the Theory of Point Processes
• Spectra of some self-exciting and mutually exciting point processes
• Estimating value-at-risk: a point process approach
• Remarks on a Multivariate Transformation

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