A Hawkes model with CARMA(p,q) intensity

Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji

Papers from arXiv.org

Abstract: In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation function and empirically evidences reject the monotonicity assumption on the autocorrelation function. The proposed model is a Hawkes process where the intensity follows a Continuous Time Autoregressive Moving Average (CARMA) process and specifically is able to reproduce more realistic dependence structures. We also study the conditions of stationarity and positivity for the intensity and the strong mixing property for the increments. Furthermore we compute the likelihood, present a simulation method and discuss an estimation method based on the autocorrelation function. A simulation and estimation exercise highlights the main features of the CARMA(p,q)-Hawkes.

Date: 2022-08, Revised 2022-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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