A Hawkes model with CARMA(p,q) intensity

DOI10.1016/J.INSMATHECO.2024.01.007arXiv2208.02659OpenAlexW4391482705WikidataQ128772589 ScholiaQ128772589MaRDI QIDQ6406993FDOQ6406993

Authors: Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji 

Publication date: 4 August 2022

Abstract: In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation function and empirically evidences reject the monotonicity assumption on the autocorrelation function. The proposed model is a Hawkes process where the intensity follows a Continuous Time Autoregressive Moving Average (CARMA) process and specifically is able to reproduce more realistic dependence structures. We also study the conditions of stationarity and positivity for the intensity and the strong mixing property for the increments. Furthermore we compute the likelihood, present a simulation method and discuss an estimation method based on the autocorrelation function. A simulation and estimation exercise highlights the main features of the CARMA(p,q)-Hawkes.

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2024.01.007

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Mathematics Subject Classification ID

Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cited In (1)

• A fractional Hawkes process. II: Further characterization of the process

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