Self-Exciting Negative Binomial Distribution and the Hawkes Process

Masato Hisakado
Additional contact information
Masato Hisakado: Nomura Hodings, Inc.

Chapter Chapter 12 in Urn Models and Their Applications in Finance, 2025, pp 187-205 from Springer

Abstract: Abstract Recently, the Hawkes process was used to represent the clustering defaults of the time series (Hawkes 1971; Kirchner 2017; Blanc et al. 2017; Errais et al. 2010; Kanazawa et al. 2020a, b.

Date: 2025
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-981-96-3825-3_12

Ordering information: This item can be ordered from
http://www.springer.com/9789819638253

DOI: 10.1007/978-981-96-3825-3_12

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().