Self-exciting jump processes with applications to energy markets
From MaRDI portal
Publication:1744711
DOI10.1007/s10463-016-0591-8zbMath1387.60083OpenAlexW2568095913MaRDI QIDQ1744711
Dag Tjøstheim, Heidar Eyjolfsson
Publication date: 19 April 2018
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-016-0591-8
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
Self-exciting jump processes and their asymptotic behaviour ⋮ Multivariate self-exciting jump processes with applications to financial data
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The asymptotic behaviour of maximum likelihood estimators for stationary point processes
- Point processes and queues. Martingale dynamics
- An introduction to the theory of point processes
- Nonlinear Poisson autoregression
- Limit theorems for nearly unstable Hawkes processes
- Some limit theorems for Hawkes processes and application to financial statistics
- Option Pricing with a General Marked Point Process
- Affine Point Processes and Portfolio Credit Risk
- Poisson Autoregression
- Multivariate Hawkes processes: an application to financial data
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- Non-linear time series and Markov chains
- MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
- On Lewis' simulation method for point processes
- Stability of Markovian processes I: criteria for discrete-time Chains
- Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
- A cluster process representation of a self-exciting process
- Financial Modelling with Jump Processes
- Modelling Nonlinear Economic Time Series
- Hawkes model for price and trades high-frequency dynamics
- Spectra of some self-exciting and mutually exciting point processes
This page was built for publication: Self-exciting jump processes with applications to energy markets
