Multivariate Quadratic Hawkes Processes -Part II: Non-Parametric Empirical Calibration

Cécilia Aubrun, Michael Benzaquen () and Jean-Philippe Bouchaud ()
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Cécilia Aubrun: X - École polytechnique - IP Paris - Institut Polytechnique de Paris, LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Michael Benzaquen: LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, X - École polytechnique - IP Paris - Institut Polytechnique de Paris
Jean-Philippe Bouchaud: X - École polytechnique - IP Paris - Institut Polytechnique de Paris, LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Abstract: This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., Benzaquen, M., &

Keywords: Multivariate QHawkes QGARCH non-parametric calibration; Multivariate QHawkes; QGARCH; non-parametric calibration (search for similar items in EconPapers)
Date: 2025
Note: View the original document on HAL open archive server: https://hal.science/hal-05337575v1
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