Exact simulation of Hawkes process with exponentially decaying intensity
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- Tomasz R. Bielecki & Jacek Jakubowski & Mariusz Niewęgłowski, 2022. "Construction and Simulation of Generalized Multivariate Hawkes Processes," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2865-2896, December.
- Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "Detecting discrete processes with the Epps effect," Papers 2005.10568, arXiv.org, revised Dec 2024.
- Riccardo Brignone & Carlo Sgarra, 2020. "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, vol. 16(1), pages 101-119, March.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Roger Martins & Dieter Hendricks, 2016. "The statistical significance of multivariate Hawkes processes fitted to limit order book data," Papers 1604.01824, arXiv.org, revised Apr 2016.
- Hainaut, Donatien, 2020. "Fractional Hawkes processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
- Gonzato, Luca & Sgarra, Carlo, 2021. "Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging," Energy Economics, Elsevier, vol. 99(C).
- Marius Pfeuffer & Goncalo dos Reis & Greig smith, 2018. "Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations," Papers 1809.09889, arXiv.org, revised Feb 2020.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1046-1062.
- Dassios, Angelos & Zhao, Hongbiao, 2017. "Efficient simulation of clustering jumps with CIR intensity," LSE Research Online Documents on Economics 74205, London School of Economics and Political Science, LSE Library.
- Dharmaraja Selvamuthu & Paola Tardelli, 2022. "Infinite-server systems with Hawkes arrivals and Hawkes services," Queueing Systems: Theory and Applications, Springer, vol. 101(3), pages 329-351, August.
- Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
- Angelos Dassios & Hongbiao Zhao, 2017. "Efficient Simulation of Clustering Jumps with CIR Intensity," Operations Research, INFORMS, vol. 65(6), pages 1494-1515, December.
- Li, Chenxu & Wu, Linjia, 2019. "Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 275(2), pages 768-779.
- Gerrit Großmann & Luca Bortolussi & Verena Wolf, 2020. "Efficient simulation of non-Markovian dynamics on complex networks," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-18, October.
- Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2019. "A general framework for time-changed Markov processes and applications," European Journal of Operational Research, Elsevier, vol. 273(2), pages 785-800.
- Martin Magris, 2019. "On the simulation of the Hawkes process via Lambert-W functions," Papers 1907.09162, arXiv.org.
- Liu, Guo & Jin, Zhuo & Li, Shuanming, 2021. "Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 508-524.
- Santitissadeekorn, Naratip & Lloyd, David J.B. & Short, Martin B. & Delahaies, Sylvain, 2020. "Approximate filtering of conditional intensity process for Poisson count data: Application to urban crime," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- Charlotte Dion & Sarah Lemler, 2020. "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 489-515, October.
- Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019. "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 100-115.
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JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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This paper has been announced in the following NEP Reports:- NEP-CMP-2015-02-05 (Computational Economics)
- NEP-RMG-2015-02-05 (Risk Management)
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