scientific article; zbMATH DE number 3378360

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Maximum likelihood estimations in a nonlinear self-exciting point process model
Accelerating the estimation of renewal Hawkes self-exciting point processes
System identification based on point processes and correlation densities. II. The refractory neuron model
Spectral estimation of Hawkes processes from count data
Ensemble binary segmentation for irregularly spaced data with change-points
Transforming spatial point processes into Poisson processes
Multiple change points detection and clustering in dynamic networks
Emergence of network structure due to spike-timing-dependent plasticity in recurrent neuronal networks V: self-organization schemes and weight dependence
Moderate deviations for multivariate Hawkes processes
Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
The Hawkes process with renewal immigration \& its estimation with an EM algorithm
Sensitivity analysis for marked Hawkes processes: application to CLO pricing
Networks of \(\cdot /\mathrm{G}/\infty \) queues with shot-noise-driven arrival intensities
Testing for self-excitation in jumps
Large deviations and applications for Markovian Hawkes processes with a large initial intensity
The microstructural foundations of leverage effect and rough volatility
Self-exciting jump processes with applications to energy markets
Statistical inference for the doubly stochastic self-exciting process
Correlated risks vs contagion in stochastic transition models
A switching self-exciting jump diffusion process for stock prices
Functional limit theorems for marked Hawkes point measures
Scalable Bayesian inference for self-excitatory stochastic processes applied to big American gunfire data
Pricing power exchange options with Hawkes jump diffusion processes
A fractional Hawkes process
Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
CDS pricing with fractional Hawkes processes
Erlang mixture modeling for Poisson process intensities
Extremes and regular variation
Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
Pricing path-dependent options under the Hawkes jump diffusion process
Surrender contagion in life insurance
A parameter estimation method for multivariate binned Hawkes processes
The microstructure of stochastic volatility models with self-exciting jump dynamics
Cluster point processes and Poisson thinning INARMA
Moments for Hawkes processes with gamma decay kernel functions
Fractional Hawkes processes
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
Estimation, diagnostics, and extensions of nonparametric Hawkes processes with kernel functions
Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims
Nonparametric Bayesian estimation for multivariate Hawkes processes
Point processes on directed linear networks
Generalized evolutionary point processes: model specifications and model comparison
Asymptotic distribution of the score test for detecting marks in Hawkes processes
Optimal market-making strategies under synchronised order arrivals with deep neural networks
Multiscale analysis of slow-fast neuronal learning models with noise
Limit properties of continuous self-exciting processes
A result of metastability for an infinite system of spiking neurons
Nonparametric self-exciting models for computer network traffic
A switching microstructure model for stock prices
Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
Simultaneous multivariate Hawkes-type point processes and their application to financial markets
A recursive point process model for infectious diseases
Limit theorems for nearly unstable Hawkes processes
Lasso and probabilistic inequalities for multivariate point processes
Statistical inference for ergodic point processes and application to limit order book
The pair correlation function of spatial Hawkes processes
Impact of volatility clustering on equity indexed annuities
Contagion modeling between the financial and insurance markets with time changed processes
Modeling of spike trains in auditory nerves with self-exciting point processes of the von Mises type
Approximate simulation of Hawkes processes
Some limit theorems for Hawkes processes and application to financial statistics
Spike-timing-dependent plasticity for neurons with recurrent connections
Modeling multivariate extreme events using self-exciting point processes
Pricing default events: surprise, exogeneity and contagion
Moment generating function of non-Markov self-excited claims processes
Time-consistent evaluation of credit risk with contagion
A numerical study of the time of extinction in a class of systems of spiking neurons
Construction and simulation of generalized multivariate Hawkes processes
A fractional Hawkes process. II: Further characterization of the process
Locally stationary Hawkes processes
Hawkes and INAR(\(\infty\)) processes
The different asymptotic regimes of nearly unstable autoregressive processes
A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
Emergence of network structure due to spike-timing-dependent plasticity in recurrent neuronal networks. IV: Structuring synaptic pathways among recurrent connections
An elementary derivation of moments of Hawkes processes
Reconstruction of sparse connectivity in neural networks from spike train covariances
Motif statistics and spike correlations in neuronal networks
Infinite systems of interacting chains with memory of variable length -- a stochastic model for biological neural nets
Bayesian inference for Hawkes processes
Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
A model for interest rates with clustering effects
A slightly depressing jump model: intraday volatility pattern simulation
Performance of information criteria for selection of Hawkes process models of financial data
Transform analysis for Hawkes processes with applications in dark pool trading
Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
Bond and option pricing for interest rate model with clustering effects
An estimation procedure for the Hawkes process
Infinite-server queues with Hawkes input
Uncovering causality from multivariate Hawkes integrated cumulants
Point-process models of social network interactions: Parameter estimation and missing data recovery
Asymptotic analysis for affine point processes with large initial intensity
Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
Hawkes graphs
Market impact as anticipation of the order flow imbalance
Hermite polynomial based expansion of European option prices
Mutual excitation in Eurozone sovereign CDS
A nonparametric estimation procedure for the Hawkes process: comparison with maximum likelihood estimation
Queues with path-dependent arrival processes
An extension of Hawkes processes with ephemeral nearest effects

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