Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes

Author:

Clinet Simon

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Reference42 articles.

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2. Abergel F, Jedidi A (2015) Long-time behavior of a Hawkes process-based limit order book. SIAM J Financ Math 6(1):1026–1043

3. Adams RA, Fournier JJ (2003) Sobolev spaces, vol 140. Academic Press, Cambridge

4. Bacry E, Mastromatteo I, Muzy J-F (2015) Hawkes processes in finance. Mark Microstruct Liq 1(01):1550005

5. Benaïm M, Le Borgne S, Malrieu F, Zitt P-A (2015) Qualitative properties of certain piecewise deterministic Markov processes. Ann Probab Stat 51:1040–1075

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Sparse estimation for generalized exponential marked Hawkes process;Statistical Inference for Stochastic Processes;2022-04-13

2. Asymptotic distribution of the score test for detecting marks in hawkes processes;Statistical Inference for Stochastic Processes;2021-05-19

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