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math.ST2025
A non-local estimator for locally stationary Hawkes processes
Thomas Deschatre, Pierre Gruet, Antoine Lotz
We consider the problem of estimating the parameters of a non-stationary Hawkes process with time-dependent reproduction rate and baseline intensity. Our approach relies on the sta…
math.ST2018
Efficient volatility estimation in a two-factor model
Olivier Féron, Pierre Gruet, Marc Hoffmann
We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility…