Bootstrap inference for Hawkes and general point processes

DOI10.1016/j.jeconom.2022.02.006arXiv2104.03122OpenAlexW4220917119MaRDI QIDQ6163273

Anders Rahbek, Unnamed Author, Ye Lu, Giuseppe Cavaliere

Publication date: 9 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.03122

zbMATH Keywords

Hawkes processbootstrap inferenceconditional intensityautoregressive conditional duration modelsself-exciting point processes

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Tail behavior of ACD models and consequences for likelihood-based estimation

Cites Work

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