Multivariate Hawkes process allowing for common shocks

Zhehao Zhang and Ruina Xing

Statistics & Probability Letters, 2025, vol. 216, issue C

Abstract: Although the Hawkes process has been widely applied, their probability properties are difficult to obtain, depending on the model structure. This paper proposes a multivariate Hawkes process, which allows for common jumps from each marginal processes. The probability of this common jump is determined by another independent process, which represents the arrival intensity of external shocks to the system. The infinitesimal generator of the new multivariate jump process is derived. Based on that, moments and the Laplace transform are studied, which further demonstrate the advantages of this model structure.

Keywords: Hawkes process; Multiple jumps; Common shocks; Infinitesimal generator; Moments and Laplace transform (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715224002396
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:216:y:2025:i:c:s0167715224002396

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2024.110270

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().