Multivariate Hawkes processes: an application to financial data
Tóm tắt
A Hawkes process is also known under the name of a self-exciting point process and has numerous applications throughout science and engineering. We derive the statistical estimation (maximum likelihood estimation) and goodness-of-fit (mainly graphical) for multivariate Hawkes processes with possibly dependent marks. As an application, we analyze two data sets from finance.
Từ khóa
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