An estimation procedure for the Hawkes process
DOI10.1080/14697688.2016.1211312zbMath1406.62118arXiv1509.02017OpenAlexW2101096071MaRDI QIDQ4555098
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.02017
conditional least-squares estimationmultivariate Hawkes processintraday financial econometricsmultivariate integer-valued autoregressive time series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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