Pages that link to "Item:Q2447641"

The following pages link to Some limit theorems for Hawkes processes and application to financial statistics (Q2447641):

Displaying 50 items.

• Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps (Q2923430) (← links)
• Fractional Skellam processes with applications to finance (Q2939445) (← links)
• Wavelet-Based Methods for High-Frequency Lead-Lag Analysis (Q3122063) (← links)
• Limit Theorems for Marked Hawkes Processes with Application to a Risk Model (Q3194561) (← links)
• Long-Time Behavior of a Hawkes Process--Based Limit Order Book (Q3456836) (← links)
• Affine Point Processes: Approximation and Efficient Simulation (Q3465933) (← links)
• Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events (Q4554425) (← links)
• An estimation procedure for the Hawkes process (Q4555098) (← links)
• Asymptotic analysis for affine point processes with large initial intensity (Q4615660) (← links)
• Market impact as anticipation of the order flow imbalance (Q4683068) (← links)
• PRICE IMPACT OF LARGE ORDERS USING HAWKES PROCESSES (Q4966641) (← links)
• Exponential ergodicity for diffusions with jumps driven by a Hawkes process (Q4989959) (← links)
• Queues with path-dependent arrival processes (Q4997201) (← links)
• An extension of Hawkes processes with ephemeral nearest effects (Q4998027) (← links)
• The limits of statistical significance of Hawkes processes fitted to financial data (Q5001105) (← links)
• (Q5001931) (← links)
• Renewal in Hawkes processes with self-excitation and inhibition (Q5005038) (← links)
• Functional central limit theorems and moderate deviations for Poisson cluster processes (Q5005039) (← links)
• Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes (Q5014205) (← links)
• Technical Note—Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates (Q5031645) (← links)
• Classification of flash crashes using the Hawkes<i>(p,q)</i>framework (Q5068081) (← links)
• An ephemerally self-exciting point process (Q5084789) (← links)
• Clustering Effects via Hawkes Processes (Q5132613) (← links)
• On the total claim amount for marked Poisson cluster models (Q5203948) (← links)
• (Q5242986) (← links)
• Hawkes model for price and trades high-frequency dynamics (Q5245453) (← links)
• The Hawkes Process with Different Exciting Functions and its Asymptotic Behavior (Q5252235) (← links)
• The characteristic function of rough Heston models (Q5743116) (← links)
• The Malliavin-Stein method for Hawkes functionals (Q5870399) (← links)
• Electricity Intraday Price Modelling with Marked Hawkes Processes (Q6039999) (← links)
• An expansion formula for Hawkes processes and application to cyber-insurance derivatives (Q6044248) (← links)
• Hawkes Processes Modeling, Inference, and Control: An Overview (Q6046286) (← links)
• Asymptotic results for a class of Markovian self-exciting processes (Q6088842) (← links)
• On the splitting and aggregating of Hawkes processes (Q6102060) (← links)
• Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources (Q6115890) (← links)
• Bayesian estimation of nonlinear Hawkes processes (Q6120835) (← links)
• Diffusive limits of Lipschitz functionals of Poisson measures (Q6126114) (← links)
• Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms (Q6148888) (← links)
• Multivariate quadratic Hawkes processes—part I: theoretical analysis (Q6158435) (← links)
• Large and moderate deviations for a discrete-time marked Hawkes process (Q6164685) (← links)
• Limit theorems for an extended inverse Hawkes process with general exciting functions (Q6165373) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
• Order Book Queue Hawkes Markovian Modeling (Q6200514) (← links)
• Normal approximation of compound Hawkes functionals (Q6204793) (← links)
• A mutually exciting rough jump-diffusion for financial modelling (Q6495741) (← links)
• Heavy-traffic limits for parallel single-server queues with randomly split Hawkes arrival processes (Q6500024) (← links)
• Diffusion approximations for self-excited systems with applications to general branching processes (Q6591583) (← links)
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model (Q6597649) (← links)
• Study of discrete-time Hawkes process and its compensator (Q6606006) (← links)
• On the chaotic expansion for counting processes (Q6620099) (← links)