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Multivariate Quadratic Hawkes Processes -Part II: Non-Parametric Empirical Calibration

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  • Cécilia Aubrun

    (X - École polytechnique - IP Paris - Institut Polytechnique de Paris, LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Michael Benzaquen

    (LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, X - École polytechnique - IP Paris - Institut Polytechnique de Paris)

  • Jean-Philippe Bouchaud

    (X - École polytechnique - IP Paris - Institut Polytechnique de Paris, LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

Abstract

This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., Benzaquen, M., &

Suggested Citation

  • Cécilia Aubrun & Michael Benzaquen & Jean-Philippe Bouchaud, 2025. "Multivariate Quadratic Hawkes Processes -Part II: Non-Parametric Empirical Calibration," Working Papers hal-05337575, HAL.
    • Handle: RePEc:hal:wpaper:hal-05337575
    Note: View the original document on HAL open archive server: https://hal.science/hal-05337575v1
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