Multivariate Hawkes processes: an application to financial data
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Publication:3094498
DOI10.1239/jap/1318940477zbMath1242.62093OpenAlexW1973168503MaRDI QIDQ3094498
Lu Lin, Thomas Liniger, Paul Embrechts
Publication date: 25 October 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1318940477
Inference from spatial processes (62M30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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