Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics

Kyungsub Lee

Papers from arXiv.org

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.

Date: 2024-01, Revised 2025-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Methodology and Computing in Applied Probability, 2025, 27, 31

Downloads: (external link)
http://arxiv.org/pdf/2401.13890 Latest version (application/pdf)

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:arx:papers:2401.13890

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().