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Hawkes processes with hidden marks

Yuzhi Cai Orcid Logo

The European Journal of Finance, Volume: 28, Issue: 7, Pages: 679 - 704

Swansea University Author: Yuzhi Cai Orcid Logo

Published in: The European Journal of Finance
ISSN: 1351-847X 1466-4364
Published: Informa UK Limited 2022
Online Access: Check full text

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Keywords: Hawkes process model, intensity function, quantile function, parameter estimation, hidden marks
College: Faculty of Humanities and Social Sciences
Issue: 7
Start Page: 679
End Page: 704