scientific article; zbMATH DE number 7387538

DOI10.11329/jjssj.46.137MaRDI QIDQ5011451

Ayao Ehara, Naoto Kunitomo, Daisuke Kurisu

Publication date: 27 August 2021

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Simultaneous multivariate Hawkes-type point processes and their application to financial markets

Uses Software

• ismev

Cites Work

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• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• Simultaneous multivariate Hawkes-type point processes and their application to financial markets
• Modeling multivariate extreme events using self-exciting point processes
• Multivariate Hawkes processes: an application to financial data
• An Introduction to the Theory of Point Processes
• Noncausality in Continuous Time
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Heavy-Tail Phenomena
• Spectra of some self-exciting and mutually exciting point processes
• An introduction to statistical modeling of extreme values

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