The statistical analysis of self exciting point processes

MaRDI QIDQ2844451zbMATH OpenFDO

Authors Kai Kopperschmidt, Winfried Stute

Publication date 28 August 2013

Published in Statistica Sinica (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityconsistencymarket researchself-exciting point processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cited in

(8)

• Shot-noise processes in finance
• Rejoinder on: ``A review of self-exciting spatio-temporal point processes and their applications
• Comment on ``A review of self-exciting spatio-temporal point processes and their applications by Alex Reinhart
• Partial self-exciting point processes and their parameter estimations
• The Analysis of Current Status Data on Point Processes
• A review of self-exciting spatio-temporal point processes and their applications
• Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
• Accelerating the estimation of renewal Hawkes self-exciting point processes

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