Markov-modulated Hawkes process with stepwise decay
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References listed on IDEAS
- Bowsher, Clive G., 2007.
"Modelling security market events in continuous time: Intensity based, multivariate point process models,"
Journal of Econometrics,
Elsevier, vol. 141(2), pages 876-912, December.
- Clive Bowsher, 2002. "Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models," Economics Papers 2002-W22, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher, 2005. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2005-W26, Economics Group, Nuffield College, University of Oxford.
- Clive G. Bowsher, 2003. "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers 2003-W03, Economics Group, Nuffield College, University of Oxford.
- Yosihiko Ogata, 1998. "Space-Time Point-Process Models for Earthquake Occurrences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(2), pages 379-402, June.
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- repec:bla:jorssc:v:66:y:2017:i:4:p:691-715 is not listed on IDEAS
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KeywordsMarkov-modulated Hawkes process with stepwise decay; EM algorithm; ETAS model; Simulation; Landers;
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