Statistical inference for the doubly stochastic self-exciting process

DOI10.3150/17-BEJ966zbMath1407.60070arXiv1607.05831MaRDI QIDQ1750090

Yoann Potiron, Simon Clinet

Publication date: 18 May 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.05831

zbMATH Keywords

high-frequency datastochasticHawkes processtime-varying parameterself-exciting processintegrated parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (7)

Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ Efficient asymptotic variance reduction when estimating volatility in high frequency data ⋮ Nonparametric estimation of locally stationary Hawkes processes ⋮ Alternative asymptotic inference theory for a nonstationary Hawkes process ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ Asymptotic distribution of the score test for detecting marks in Hawkes processes ⋮ Statistical inference for the doubly stochastic self-exciting process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximum likelihood estimation of Hawkes' self-exciting point processes
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• A family of autoregressive conditional duration models
• Locally stationary Hawkes processes
• Modelling security market events in continuous time: intensity based, multivariate point process models
• Quarticity and other functionals of volatility: efficient estimation
• Estimation of integrated quadratic covariation with endogenous sampling times
• Discretization of processes.
• Fitting time series models to nonstationary processes
• Efficient asymptotic variance reduction when estimating volatility in high frequency data
• Statistical inference for the doubly stochastic self-exciting process
• Limit theorems for nearly unstable Hawkes processes
• Statistical inference for ergodic point processes and application to limit order book
• Some limit theorems for Hawkes processes and application to financial statistics
• The dynamic mixed hitting-time model for multiple transaction prices and times
• Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit
• Multivariate Hawkes processes: an application to financial data
• Inference for Continuous Semimartingales Observed at High Frequency
• The Markovian self-exciting process
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
• Spectra of some self-exciting and mutually exciting point processes
• Modelling microstructure noise with mutually exciting point processes
• An Introduction to the Theory of Point Processes
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

This page was built for publication: Statistical inference for the doubly stochastic self-exciting process