Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
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Cites work
- A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation
- A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion
- A study of logspline density estimation
- An estimation procedure for the Hawkes process
- An Introduction to the Theory of Point Processes
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
- Bayes Factors
- Disentangling and quantifying market participant volatility contributions
- Estimating the dimension of a model
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation
- Fractional Brownian Motions, Fractional Noises and Applications
- Hawkes and INAR(\(\infty\)) processes
- Hawkes branching point processes without ancestors
- scientific article; zbMATH DE number 3954047 (Why is no real title available?)
- scientific article; zbMATH DE number 3688413 (Why is no real title available?)
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- Limit theorems for nearly unstable Hawkes processes
- Logspline density estimation for binned data
- Mean-field inference of Hawkes point processes
- On Lewis' simulation method for point processes
- Polynomial splines and their tensor products in extended linear modeling. (With discussions)
- Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
- Some limit theorems for Hawkes processes and application to financial statistics
- Spectra of some self-exciting and mutually exciting point processes
- Statistical Models
- The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
- The estimation of the order of an ARMA process
- The limits of statistical significance of Hawkes processes fitted to financial data
- The microstructural foundations of leverage effect and rough volatility
- The Restricted EM Algorithm for Maximum Likelihood Estimation Under Linear Restrictions on the Parameters
- Threshold models in time series analysis -- 30 years on
- Time series, point processes, and hybrids
- Varieties of long memory models
Cited in
(12)- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- Transform analysis for Hawkes processes with applications in dark pool trading
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
- The limits of statistical significance of Hawkes processes fitted to financial data
- Exogenous and endogenous price jumps belong to different dynamical classes
- Classification of flash crashes using the Hawkes \(p,q\) framework
- The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
- Nonlinear Poisson autoregression and nonlinear Hawkes processes
- Multiple outlier detection in samples with exponential & Pareto tails
- Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets
- Expectations of linear and nonlinear Hawkes processes using a field-theoretical approach
- Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
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