Journal of Applied Probability

Multivariate Hawkes processes: an application to financial data

Paul Embrechts, Thomas Liniger, and Lu Lin

Abstract

A Hawkes process is also known under the name of a self-exciting point process and has numerous applications throughout science and engineering. We derive the statistical estimation (maximum likelihood estimation) and goodness-of-fit (mainly graphical) for multivariate Hawkes processes with possibly dependent marks. As an application, we analyze two data sets from finance.

Article information

Source
J. Appl. Probab., Volume 48A (2011), 367-378.

Dates
First available in Project Euclid: 18 October 2011

Permanent link to this document
https://projecteuclid.org/euclid.jap/1318940477

Digital Object Identifier
doi:10.1239/jap/1318940477

Mathematical Reviews number (MathSciNet)
MR2865638

Zentralblatt MATH identifier
1242.62093

Subjects
Primary: 60G55: Point processes
Secondary: 91B28

Keywords
Multivariate Hawkes process point process clustering self-exciting

Citation

Embrechts, Paul; Liniger, Thomas; Lin, Lu. Multivariate Hawkes processes: an application to financial data. J. Appl. Probab. 48A (2011), 367--378. doi:10.1239/jap/1318940477. https://projecteuclid.org/euclid.jap/1318940477


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