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Discrete Hawkes process with flexible residual distribution and filtered historical simulation

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  • Kyungsub Lee

Abstract

We introduce a new model which can be considered as a extended version of the Hawkes process in a discrete sense. This model enables the integration of various residual distributions while preserving the fundamental properties of the original Hawkes process. The rich nature of this model enables a filtered historical simulation which incorporate the properties of original time series more accurately. The process naturally extends to multi-variate models with easy implementations of estimation and simulation. We investigate the effect of flexible residual distribution on estimation of high frequency financial data compared with the Hawkes process.

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  • Kyungsub Lee, 2024. "Discrete Hawkes process with flexible residual distribution and filtered historical simulation," Papers 2401.13890, arXiv.org.
    • Handle: RePEc:arx:papers:2401.13890
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    References listed on IDEAS

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