Multivariate Hawkes process allowing for common shocks

Could not fetch data.

Cites Work

Title not available (Why is that?)
Gaussian approximation of nonlinear Hawkes processes
Exact simulation of Hawkes process with exponentially decaying intensity
Some asymptotic results for nonlinear Hawkes processes
A bivariate shot noise self-exciting process for insurance
Moments for Hawkes processes with gamma decay kernel functions
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
Precise deviations for Hawkes processes
Nonparametric Bayesian estimation for multivariate Hawkes processes
Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
Affine Point Processes and Portfolio Credit Risk
Multivariate Hawkes processes: an application to financial data
A dynamic contagion process
An elementary derivation of moments of Hawkes processes
Some counting and interval properties of the mutually-exciting processes
A cluster process representation of a self-exciting process
A model for interest rates with clustering effects
Performance of information criteria for selection of Hawkes process models of financial data
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
The role of volume in order book dynamics: a multivariate Hawkes process analysis
Efficient Simulation of Clustering Jumps with CIR Intensity
State-dependent Hawkes processes and their application to limit order book modelling
Numerical method for means of linear Hawkes processes
Partial self-exciting point processes and their parameter estimations
Queues Driven by Hawkes Processes
Self-Exciting Point Process Modeling of Crime
Spectra of some self-exciting and mutually exciting point processes
Bayesian estimation of nonlinear Hawkes processes

This page was built for publication: Multivariate Hawkes process allowing for common shocks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6650757)