Hawkes process model with a time-dependent background rate and its application to high-frequency financial data
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Cited by:
- Ross, Gordon J., 2020. "Self-excitation in the solar flare waiting time distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
- Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
- Stindl, Tom, 2023. "Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 182-198.
- Mohammad Masoud Rahimi & Elham Naghizade & Mark Stevenson & Stephan Winter, 2023. "SentiHawkes: a sentiment-aware Hawkes point process to model service quality of public transport using Twitter data," Public Transport, Springer, vol. 15(2), pages 343-376, June.
- Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
- Bo Jing & Shenghong Li & Yong Ma, 2020. "Pricing VIX options with volatility clustering," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 928-944, June.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-02-19 (Econometrics)
- NEP-ETS-2017-02-19 (Econometric Time Series)
- NEP-MST-2017-02-19 (Market Microstructure)
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