An estimation procedure for the Hawkes process

Hawkes and INAR(∞) processes

(2016) Matthias Kirchner   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Multivariate Hawkes processes: an application to financial data

(2016) Paul Embrechts et al.   JOURNAL OF APPLIED PROBABILITY

Limit theorems for nearly unstable Hawkes processes

(2015) Thibault Jaisson et al.   ANNALS OF APPLIED PROBABILITY

Lasso and probabilistic inequalities for multivariate point processes

(2015) Niels Richard Hansen et al.   BERNOULLI

Hawkes model for price and trades high-frequency dynamics

(2014) Emmanuel Bacry et al.   QUANTITATIVE FINANCE

Goodness-of-Fit Tests and Nonparametric Adaptive Estimation for Spike Train Analysis

(2014) Patricia Reynaud-Bouret et al.   Journal of Mathematical Neuroscience

Critical reflexivity in financial markets: a Hawkes process analysis

(2013) Stephen J. Hardiman et al.   EUROPEAN PHYSICAL JOURNAL B

Some limit theorems for Hawkes processes and application to financial statistics

(2013) E. Bacry et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

(2012) E. Bacry et al.   EUROPEAN PHYSICAL JOURNAL B

Self-Exciting Point Process Modeling of Crime

(2011) G. O. Mohler et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Adaptive estimation for Hawkes processes; application to genome analysis

(2010) Patricia Reynaud-Bouret et al.   ANNALS OF STATISTICS

Inference for processes with signed generalized power series thinning operator

(2009) Haixiang Zhang et al.   JOURNAL OF STATISTICAL PLANNING AND INFERENCE

Robust dynamic classes revealed by measuring the response function of a social system

(2008) R. Crane et al.   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA