Some limit theorems for hawkes processes and application to financial statistics

Stochastic Processes and their Applications

Volumn 123, Issue 7, 2013, Pages 2475-2499

  Bacry, E ^a   Delattre, S ^b   Hoffmann, M ^c   Muzy, J F ^d  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b UNIVERSITÉ PARIS DESCARTES   (France)

^c UNIVERSITÉ PARIS DAUPHINE   (France)

^d UNIVERSITÉ DE CORSE   (France)

Author keywords

Discretisation of stochastic processes; Hawkes processes; Limit theorems; Point processes; Statistics of random processes

Indexed keywords

FINANCE; RANDOM PROCESSES; STATISTICS; STOCHASTIC SYSTEMS;

ASYMPTOTIC BEHAVIOUR; DISCRETISATION; FUNCTIONAL CENTRAL LIMIT THEOREM; LAW OF LARGE NUMBERS; LIMIT THEOREM; MACROSCOPIC DIFFUSION; POINT PROCESS; SECOND ORDER STRUCTURE;

STOCHASTIC MODELS;

EID: 84885063010     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2013.04.007     Document Type: Article

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