Self and Mutually Exciting Point Process Embedding Flexible Residuals and Intensity with Discretely Markovian Dynamics

Kyungsub Lee ()
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Kyungsub Lee: Yeungnam University

Methodology and Computing in Applied Probability, 2025, vol. 27, issue 2, 1-23

Abstract: Abstract This work introduces a self and mutually exciting point process that embeds flexible residuals and intensity with discretely Markovian dynamics. By allowing the integration of diverse residual distributions, this model serves as an extension of the Hawkes process, facilitating intensity modeling. This model’s nature enables a filtered historical simulation that more accurately incorporates the properties of the original time series. Furthermore, the process extends to multivariate models with manageable estimation and simulation implementations. We investigate the impact of a flexible residual distribution on the estimation of high-frequency financial data, comparing it with the Hawkes process.

Keywords: Point process; Flexible residual; Intensity modeling; Historical simulation; Financial application; 60G55 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11009-025-10159-5

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