High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes

Yoann Potiron, Olivier Scaillet, Vladimir Volkov and Seunghyeon Yu
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Vladimir Volkov: Tasmania School of Business and Economics, University of Tasmania
Seunghyeon Yu: Northwestern University - Kellogg School of Management

No 25-13, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We consider Hawkes self-exciting processes with a baseline driven by an Itô semimartingale with possible jumps. Under in-fill asymptotics, we characterize feasible statistics induced by central limit theory for empirical average and variance of local Poisson estimates. As a byproduct, we develop a test for the absence of a Hawkes component and a test for baseline constancy. Simulation studies corroborate the asymptotic theory. An empirical application on high-frequency data of the E-mini S&P500 future contracts shows that the absence of a Hawkes component and baseline constancy is always rejected.

Keywords: Hawkes tests; in-fill asymptotics; high-frequency data; Itô semimartingale; selfexciting process; time-varying baseline (search for similar items in EconPapers)
Pages: 41 pages
Date: 2025-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2513

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