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Markov-modulated Hawkes process with stepwise decay

Author

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  • Ting Wang
  • Mark Bebbington
  • David Harte

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Suggested Citation

  • Ting Wang & Mark Bebbington & David Harte, 2012. "Markov-modulated Hawkes process with stepwise decay," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(3), pages 521-544, June.
    • Handle: RePEc:spr:aistmt:v:64:y:2012:i:3:p:521-544
    DOI: 10.1007/s10463-010-0320-7
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    References listed on IDEAS

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    1. 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.
    2. 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.
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    Cited by:

    1. 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.
    2. Bountzis, P. & Papadimitriou, E. & Tsaklidis, G., 2020. "Earthquake clusters identification through a Markovian Arrival Process (MAP): Application in Corinth Gulf (Greece)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    3. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Annals of Finance, Springer, vol. 15(2), pages 267-306, June.
    5. Amina Shahzadi & Ting Wang & Mark Bebbington & Matthew Parry, 2023. "Inhomogeneous hidden semi-Markov models for incompletely observed point processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(2), pages 253-280, April.
    6. 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.
    7. Ting Wang & Jiancang Zhuang & Kazushige Obara & Hiroshi Tsuruoka, 2017. "Hidden Markov modelling of sparse time series from non-volcanic tremor observations," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(4), pages 691-715, August.
    8. Timoth'ee Fabre & Ioane Muni Toke, 2024. "Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets," Papers 2401.09361, arXiv.org, revised Jan 2024.

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