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Scaling limits for Hawkes processes and application to financial statistics

Scaling limits for Hawkes processes and application to financial statistics

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Published by Sami Ben El Mamoun
Scaling limits for Hawkes processes and application to financial statistics
E. Bacry∗ S. Delattre† M. Hoffmann‡and J.F. Muzy§ , ,

Abstract We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval [0, T ] in the limit T → ∞. We further exhibit the asymptotic behaviour of the covariation of the increments of the components of a multivariate Hawkes process, when the observations are imposed by a discrete scheme with mesh ∆
Scaling limits for Hawkes processes and application to financial statistics
E. Bacry∗ S. Delattre† M. Hoffmann‡and J.F. Muzy§ , ,

Abstract We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval [0, T ] in the limit T → ∞. We further exhibit the asymptotic behaviour of the covariation of the increments of the components of a multivariate Hawkes process, when the observations are imposed by a discrete scheme with mesh ∆

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Published by: Sami Ben El Mamoun on Feb 23, 2012
Copyright:Attribution Non-commercial

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01/20/2014

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