Hierarchy of temporal responses of multivariate self-excited epidemic processes
Author
Abstract
Suggested Citation
DOI: 10.1140/epjb/e2013-30493-9
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2006.
"Modelling financial high frequency data using point processes,"
LIDAM Discussion Papers CORE
2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2009. "Modelling financial high frequency data using point processes," LIDAM Reprints CORE 2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Nikolaus Hautsch, 2007. "Modelling Financial High Frequency Data Using Point Processes," SFB 649 Discussion Papers SFB649DP2007-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
- Bauwens, Luc & Hautsch, Nikolaus, 2007. "Modelling financial high frequency data using point processes," SFB 649 Discussion Papers 2007-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Yannick Malevergne & Didier Sornette, 2006. "Extreme Financial Risks : From Dependence to Risk Management," Post-Print hal-02298069, HAL.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Didier Sornette & Thomas Maillart & Giacomo Ghezzi, 2014. "How Much Is the Whole Really More than the Sum of Its Parts? 1 ⊞ 1 = 2.5: Superlinear Productivity in Collective Group Actions," PLOS ONE, Public Library of Science, vol. 9(8), pages 1-15, August.
- Maillart, Thomas & Sornette, Didier, 2019. "Aristotle vs. Ringelmann: On superlinear production in open source software," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 964-972.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Qi Guo & Bruno Remillard & Anatoliy Swishchuk, 2020. "Multivariate General Compound Point Processes in Limit Order Books," Risks, MDPI, vol. 8(3), pages 1-20, September.
- Alves, L.G.A. & Ribeiro, H.V. & Lenzi, E.K. & Mendes, R.S., 2014. "Empirical analysis on the connection between power-law distributions and allometries for urban indicators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 409(C), pages 175-182.
- Emmanuel Bacry & Jean-Francois Muzy, 2014. "Second order statistics characterization of Hawkes processes and non-parametric estimation," Papers 1401.0903, arXiv.org, revised Feb 2015.
- Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
- Donatien Hainaut & Renaud MacGilchrist, 2012. "Strategic asset allocation with switching dependence," Annals of Finance, Springer, vol. 8(1), pages 75-96, February.
- Diana, Tony, 2011. "Improving schedule reliability based on copulas: An application to five of the most congested US airports," Journal of Air Transport Management, Elsevier, vol. 17(5), pages 284-287.
- Monira Essa Aloud, 2016. "Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 55-64.
- Dietmar Pfeifer & Olena Ragulina, 2018. "Generating VaR Scenarios under Solvency II with Product Beta Distributions," Risks, MDPI, vol. 6(4), pages 1-15, October.
- Gurgul Henryk & Machno Artur, 2017. "Trade Pattern on Warsaw Stock Exchange and Prediction of Number of Trades," Statistics in Transition New Series, Polish Statistical Association, vol. 18(1), pages 91-114, March.
- Hernández-Ramírez, E. & del Castillo-Mussot, M. & Hernández-Casildo, J., 2021. "World per capita gross domestic product measured nominally and across countries with purchasing power parity: Stretched exponential or Boltzmann–Gibbs distribution?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 568(C).
- Anatoliy Swishchuk & Aiden Huffman, 2020. "General Compound Hawkes Processes in Limit Order Books," Risks, MDPI, vol. 8(1), pages 1-25, March.
- Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
- Steffen Volkenand & Günther Filler & Martin Odening, 2020. "Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities," Risks, MDPI, vol. 8(3), pages 1-17, July.
- Tang, Qihe & Yang, Fan, 2012. "On the Haezendonck–Goovaerts risk measure for extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 217-227.
- César Garcia-Gomez & Ana Pérez & Mercedes Prieto-Alaiz, 2022. "The evolution of poverty in the EU-28: a further look based on multivariate tail dependence," Working Papers 605, ECINEQ, Society for the Study of Economic Inequality.
- Sornette, Didier & Zhou, Wei-Xing, 2006.
"Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 704-726.
- Didier Sornette & Wei-Xing Zhou, 2005. "Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets," Papers cond-mat/0503607, arXiv.org, revised Mar 2005.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013.
"Modelling microstructure noise with mutually exciting point processes,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
- E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
- Li, Jie & Li, Guangzhong & Zhou, Yinggang, 2015. "Do securitized real estate markets jump? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 13-35.
- Harvey,Andrew C., 2013.
"Dynamic Models for Volatility and Heavy Tails,"
Cambridge Books,
Cambridge University Press, number 9781107034723, October.
- Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, October.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
More about this item
Keywords
Statistical and Nonlinear Physics;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurphb:v:86:y:2013:i:4:p:1-19:10.1140/epjb/e2013-30493-9. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.