Open AccessMultivariate Quadratic Hawkes Processes – Part I: Theoretical Analysis
Author(s) -
Cécilia Aubrun,
Michael Benzaquen,
JeanPhilippe Bouchaud
Publication year - 2022
Publication title -
ssrn electronic journal
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.4142521
Subject(s) - endogeneity , quadratic equation , econometrics , volatility (finance) , univariate , multivariate statistics , mathematics , diagonal , quadratic variation , rank (graph theory) , economics , statistics , brownian motion , combinatorics , geometry
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