The rough Hawkes process-Reference-Cited by-同舟云学术

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The rough Hawkes process

Published:2024-08-20 Issue: Volume: Page:1-28
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Hainaut Donatien¹,Chen Jing²,Scalas Enrico³⁴

Affiliation:

1. Louvain Institute of Data Analysis and Modeling, Université catholique de Louvain, Louvain-la-Neuve, Belgium

2. School of Mathematics, Cardiff University, Cardiff, Wales

3. Department of Mathematics, Sussex University, Brighton, UK

4. Department of Statistical Sciences, La Sapienza University, Rome, Italy

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2024.2389959

Reference30 articles.

1. Some limit theorems for Hawkes processes and application to financial statistics

2. Chen, J., A. G. Hawkes, and E. Scalas. 2021. Nonlocal and fractional operators. In A Fractional Hawkes Process, SEMA SIMAI Springer Series, ed. L. Beghin, F. Mainardi, R. Garrappa Vol. 26. Springer Nature Switzerland.

3. An elementary derivation of moments of Hawkes processes

4. Moments for Hawkes Processes with Gamma Decay Kernel Functions

5. Daley, D. J., and D. Vere-Jones. 2003. An Introduction to the theory of point processes. Volume I: Elementary theory and methods, New York, Berlin, Heidelberg: Springer-Verlag.

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