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Time-frequency analysis of locally stationary Hawkes processes

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  • Roueff, Francois
  • von Sachs, Rainer

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  • Roueff, Francois & von Sachs, Rainer, 2017. "Time-frequency analysis of locally stationary Hawkes processes," LIDAM Discussion Papers ISBA 2017005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2017005
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    References listed on IDEAS

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    1. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
    2. Roueff, François & von Sachs, Rainer & Sansonnet, Laure, 2016. "Locally stationary Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1710-1743.
    3. Roueff, Francois & von Sachs, Rainer & Sansonnet, Laure, 2016. "Locally stationary Hawkes processes," LIDAM Reprints ISBA 2016026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
    5. Emmanuel Bacry & Sylvain Delattre & Marc Hoffmann & Jean-François Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Post-Print hal-01313995, HAL.
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