Some limit theorems for Hawkes processes and application to financial statistics

DOI10.1016/j.spa.2013.04.007zbMath1292.60032arXiv1202.0842OpenAlexW2088067727MaRDI QIDQ2447641

Emmanuel Bacry, Jean-François Muzy, Sylvain Delattre, Marc Hoffmann

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.0842

zbMATH Keywords

point processeslimit theoremsHawkes processesdiscretisation of stochastic processesstatistics of random processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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