Abstract
Because of their tractability and their natural interpretations in term of market quantities, Hawkes processes are nowadays widely used in high-frequency finance. However, in practice, the statistical estimation results seem to show that very often, only nearly unstable Hawkes processes are able to fit the data properly. By nearly unstable, we mean that the
Citation
Thibault Jaisson. Mathieu Rosenbaum. "Limit theorems for nearly unstable Hawkes processes." Ann. Appl. Probab. 25 (2) 600 - 631, April 2015. https://doi.org/10.1214/14-AAP1005
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