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Time-frequency analysis of locally stationary Hawkes processes

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  • Roueff, Francois
  • von Sachs, Rainer

Abstract

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Suggested Citation

  • Roueff, Francois & von Sachs, Rainer, 2019. "Time-frequency analysis of locally stationary Hawkes processes," LIDAM Reprints ISBA 2019012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2019012
    Note: In : Bernoulli : a journal of mathematical statistics and probability, vol. 25, no. 2, p. 1355-1385 (2019)
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    File URL: https://research.dial.uclouvain.be/
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    Cited by:

    1. E A K Cohen & A J Gibberd, 2022. "Wavelet spectra for multivariate point processes [The spectral analysis of point processes]," Biometrika, Biometrika Trust, vol. 109(3), pages 837-851.
    2. Dobrislav Dobrev & Ernst Schaumburg, 2026. "High-Frequency Cross-Market Trading: Model-Free Measurement and Testable Implications," Working Papers 2026-011, The George Washington University, The Center for Economic Research.
    3. 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).

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