Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
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Cites work
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- Maximum likelihood identification of neural point process systems
- Maximum local partial likelihood estimators for the counting process intensity function and its derivatives
- Multivariate Hawkes processes: an application to financial data
- Note on the Consistency of the Maximum Likelihood Estimate
- Remarks on a Multivariate Transformation
- Spectra of some self-exciting and mutually exciting point processes
- Statistical models based on counting processes
- The asymptotic behaviour of maximum likelihood estimators for stationary point processes
- The multi-state latent factor intensity model for credit rating transitions
Cited in
(29)- Direct Likelihood Evaluation for the Renewal Hawkes Process
- Likelihood based inference for the multivariate renewal Hawkes process
- Marked self-exciting point process modelling of information diffusion on twitter
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- Time-frequency analysis of locally stationary Hawkes processes
- Statistical inference for the doubly stochastic self-exciting process
- Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events
- Infinitely stochastic micro reserving
- Asymptotic distribution of the score test for detecting marks in Hawkes processes
- A semiparametric additive rate model for a modulated renewal process
- Nonparametric self-exciting models for computer network traffic
- Locally stationary Hawkes processes
- The statistical analysis of self exciting point processes
- Modelling Financial High Frequency Data Using Point Processes
- Optimal placement in a limit order book: an analytical approach
- Semi-parametric learning of structured temporal point processes
- Nonparametric estimation of locally stationary Hawkes processes
- Alternative asymptotic inference theory for a nonstationary Hawkes process
- Fast and asymptotically efficient estimation in the Hawkes processes
- Adaptive estimation of intensity in a doubly stochastic Poisson process
- Latent Network Structure Learning From High-Dimensional Multivariate Point Processes
- Disentangling Sources of High Frequency Market Microstructure Noise
- Group Network Hawkes Process
- A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
- Optimal execution in intraday energy markets under Hawkes processes with transient impact
- On goodness-of-fit testing for self-exciting point processes
- Mutually exciting point processes for crowdfunding platform dynamics
- Mutually Exciting Point Processes with Latency
- Likelihood inference of the non-stationary Hawkes process with non-exponential kernel
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