An estimation procedure for the Hawkes process

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Author
Kirchner, Matthias
Date
2017-04
Type
    Journal Article
Publication status
published
External links
Journal / series
Quantitative Finance
Volume
17(4)
Pages / Article No.
571 - 595
Publisher
Routledge
Subject
Multivariate Hawkes process; Multivariate integer-valued autoregressive time series; Conditional least-squares estimation; Intraday financial econometrics; C13; C14; C22; C51
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)  
Notes
Published online 12 September 2016.
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Citations
Cited 42 times in Scopus
ETH Bibliography
yes
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