Fetching the paper…
Reading the bibliography…
We define a numerical method that provides a non-parametric estimation of the kernel shape in symmetric multivariate Hawkes processes.
Fourier transforms in the complex domain
R.E.A.C. Paley and N. Wiener · 1934
Earlier work this paper cites.
The spectral analysis of point processes
M. S. Bartlett · 1963
Earlier work this paper cites.
The spectral analysis of Two-Dimensional point processes
M. S. Bartlett · 1964
Earlier work this paper cites.
Stochastic models for earthquake occurrence
D. Vere-Jones · 1970
Earlier work this paper cites.
Point spectra of some mutually exciting point processes
A. Hawkes · 1971
Earlier work this paper cites.
Spectra of some Self-Exciting and mutually exciting point processes
A. Hawkes · 1971
Earlier work this paper cites.
Cluster models for earthquakes: Regional comparisons
L. Adamopoulos · 1976
Earlier work this paper cites.
Maximum likelihood estimation of hawkes’ self-exciting point processes
T. Ozaki · 1979
Earlier work this paper cites.
On lewis’ simulation method for point processes
Y. Ogata · 1981
Earlier work this paper cites.
On linear intensity models for mixed doubly stochastic poisson and self- exciting point processes
Y. Ogata and H. Akaike · 1982
Earlier work this paper cites.
Some examples of statistical estimation applied to earthquake data
D. Vere-Jones and T. Ozaki · 1982
Earlier work this paper cites.
Seismicity analysis through point-process modeling: A review
Y. Ogata · 1999
Cited alongside, same era.
Discrete-time signal processing
A. V. Oppenheim, R. W. Schafer, and J. R. Buck · 1999
Cited alongside, same era.
Subcritical and supercritical regimes in epidemic models of earthquake aftershocks
A. Helmstetter and D. Sornette · 2002
Cited alongside, same era.
Stochastic declustering of Space-Time earthquake occurrences
J. Zhuang, Y. Ogata, and D. Vere-Jones · 2002
Cited alongside, same era.
Estimating value-at-risk: a point process approach
V. Chavez-Demoulin, A. C. Davison, and A. J. McNeil · 2005
Cited alongside, same era.
Clustering of order arrivals, price impact and trade path optimisation
P. Hewlett · 2006
Cited alongside, same era.
Multivariate Hawkes Processes
J. T. Liniger · 2009
Later among the works it cites.
Adaptive estimation for hawkes processes; application to genome analysis
P. Reynaud-Bouret and S. Schbath · 2010
Later among the works it cites.
Modeling microstructure noise with mutually exciting point processes
E. Bacry, S. Delattre, M. Hoffmann, and J. F. Muzy · 2011
Closest in time.
Scaling limits for hawkes processes and financial data modelling
E. Bacry, S. Delattre, M. Hoffmann, and J. F Muzy · 2011
Closest in time.
Market Microstructure and Modeling of the Trading Flow
K. A. Dayri · 2011
Closest in time.
Self-exciting point process models of the insurgency in iraq
P. J. Brantingham E. Lewis, G. Mohler and A. Bertozzi · 2011
Closest in time.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Modelling security market events in continuous time: Intensity based, multivariate point process models
C. G. Bowsher · 2007
Cited alongside, same era.
A top down approach to Multi-Name credit
K. Giesecke and L. R. Goldberg · 2007
Cited alongside, same era.
Measuring the resiliency of an electronic limit order book
J. Large · 2007
Cited alongside, same era.
Extending earthquakes’ reach through cascading
D. Marsan and O. Lengliné · 2008
Cited alongside, same era.
Modelling financial high frequency data using point processes
L. Bauwens and N. Hautsch · 2009
Cited alongside, same era.
Multivariate hawkes processes: an application to financial data
P. Embrechts, J. T. Liniger, and L. Lu · 2011
Closest in time.
A nonparametric EM algorithm for a multiscale hawkes process
E. Lewis and G. Mohler · 2011
Closest in time.
Self-Exciting point process modeling of crime
G. Mohler, M. Short, P. Brantingham, F. Schoenberg, and G. Tita · 2011
Closest in time.
Econophysics of order-driven markets
I. M. Toke · 2011
Closest in time.