IDEAS home Printed from https://ideas.repec.org/p/aiz/louvad/2017005.html

Time-frequency analysis of locally stationary Hawkes processes

Author

Listed:
  • Roueff, Francois
  • von Sachs, Rainer

Abstract

No abstract is available for this item.

Suggested Citation

  • Roueff, Francois & von Sachs, Rainer, 2017. "Time-frequency analysis of locally stationary Hawkes processes," LIDAM Discussion Papers ISBA 2017005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2017005
    as

    Download full text from publisher

    File URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A183997/datastream/PDF_01/view
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Roueff, François & von Sachs, Rainer & Sansonnet, Laure, 2016. "Locally stationary Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1710-1743.
    2. Roueff, Francois & von Sachs, Rainer & Sansonnet, Laure, 2016. "Locally stationary Hawkes processes," LIDAM Reprints ISBA 2016026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Stefan Birr & Stanislav Volgushev & Tobias Kley & Holger Dette & Marc Hallin, 2017. "Quantile spectral analysis for locally stationary time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(5), pages 1619-1643, November.
    4. 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.
    5. Emmanuel Bacry & Sylvain Delattre & Marc Hoffmann & Jean-François Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Post-Print hal-01313995, HAL.
    Full references (including those not matched with items on IDEAS)

    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.
    1. Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
    2. von Sachs, Rainer, 2019. "Spectral Analysis of Multivariate Time Series," LIDAM Discussion Papers ISBA 2019008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. 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.
    4. Fabio Baschetti & Giacomo Bormetti & Silvia Romagnoli & Pietro Rossi, 2020. "The SINC way: A fast and accurate approach to Fourier pricing," Papers 2009.00557, arXiv.org, revised May 2021.
    5. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "Optimal liquidation under indirect price impact with propagator," LIDAM Discussion Papers ISBA 2023012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Angelos Dassios & Hongbiao Zhao, 2014. "A Markov Chain Model for Contagion," Risks, MDPI, vol. 2(4), pages 1-22, November.
    7. 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.
    8. Geon Ho Choe & Kyungsub Lee, 2013. "Conditional correlation in asset return and GARCH intensity model," Papers 1311.4977, arXiv.org.
    9. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
    10. Thomas Deschatre & Xavier Warin, 2023. "A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation," Papers 2307.16619, arXiv.org.
    11. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    12. 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.
    13. Huang, Lorick & Khabou, Mahmoud, 2023. "Nonlinear Poisson autoregression and nonlinear Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 201-241.
    14. Angelos Dassios & Xin Dong, 2014. "Stationarity of Bivariate Dynamic Contagion Processes," Papers 1405.5842, arXiv.org.
    15. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Marked point processes and intensity ratios for limit order book modeling," Papers 2001.08442, arXiv.org.
    16. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.
    17. Alfonsi, Aurélien, 2025. "Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation," Stochastic Processes and their Applications, Elsevier, vol. 181(C).
    18. Dassios, Angelos & Zhao, Hongbiao, 2014. "A Markov chain model for contagion," LSE Research Online Documents on Economics 60155, London School of Economics and Political Science, LSE Library.
    19. Herrera, Rodrigo & González, Sergio & Clements, Adam, 2018. "Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 70-88.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:aiz:louvad:2017005. 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: Nadja Peiffer (email available below). General contact details of provider: https://edirc.repec.org/data/isuclbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.