Multivariate Hawkes processes: an application to financial data

Journal of Applied Probability - Tập 48 Số A - Trang 367-378 - 2011
Paul Embrechts1, Thomas Liniger2, Lu Lin2
1ETH Zürich and Swiss Finance Institute, RiskLab, Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland. Email address:
2ETH Zürich, Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland

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.

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Journal of Applied Probability

Tập 48 Số A

367-378

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