An estimation procedure for the Hawkes process

DOI10.1080/14697688.2016.1211312zbMath1406.62118arXiv1509.02017OpenAlexW2101096071MaRDI QIDQ4555098

Matthias Kirchner

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

zbMATH Keywords

conditional least-squares estimationmultivariate Hawkes processintraday financial econometricsmultivariate integer-valued autoregressive time series

Mathematics Subject Classification ID

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)

Related Items (20)

Cluster point processes and Poisson thinning INARMA ⋮ GP-ETAS: semiparametric Bayesian inference for the spatio-temporal epidemic type aftershock sequence model ⋮ Parameter Estimation of Binned Hawkes Processes ⋮ Analysis of order book flows using a non-parametric estimation of the branching ratio matrix ⋮ Infinite-server queues with Hawkes input ⋮ State-dependent Hawkes processes and their application to limit order book modelling ⋮ Bankruptcy risk dependence structure using the INAR model comprising macroeconomic indicators applied to stress tests ⋮ Nonlinear Poisson autoregression and nonlinear Hawkes processes ⋮ Nonparametric estimation of locally stationary Hawkes processes ⋮ Estimating Covid-19 transmission time using Hawkes point processes ⋮ Inference of multivariate exponential Hawkes processes with inhibition and application to neuronal activity ⋮ Order Book Queue Hawkes Markovian Modeling ⋮ Hawkes Graphs ⋮ Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process ⋮ Unnamed Item ⋮ Spectral estimation of Hawkes processes from count data ⋮ A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation ⋮ Testing the causality of Hawkes processes with time reversal ⋮ Optimal reinsurance-investment strategy for a dynamic contagion claim model ⋮ Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Uses Software

• Matrix

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Hawkes and INAR(\(\infty\)) processes
• Adaptive estimation for Hawkes processes; application to genome analysis
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• Discrete analogues of self-decomposability and stability
• On conditional least squares estimation for stochastic processes
• Goodness-of-fit tests and nonparametric adaptive estimation for spike train analysis
• Limit theorems for nearly unstable Hawkes processes
• Lasso and probabilistic inequalities for multivariate point processes
• Some limit theorems for Hawkes processes and application to financial statistics
• Stability of nonlinear Hawkes processes
• Hawkes branching point processes without ancestors
• Limit order books
• First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
• Affine Point Processes and Portfolio Credit Risk
• Multivariate Hawkes processes: an application to financial data
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• A simple proof of the multivariate random time change theorem for point processes
• A cluster process representation of a self-exciting process
• The Multivariate Ginar(p) Process
• Hawkes Graphs
• An Introduction to the Theory of Point Processes
• Hawkes model for price and trades high-frequency dynamics
• Self-Exciting Point Process Modeling of Crime
• Spectra of some self-exciting and mutually exciting point processes
• Estimating value-at-risk: a point process approach
• Probability
• Elements of multivariate time series analysis.

This page was built for publication: An estimation procedure for the Hawkes process