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stat.ME2026
Parametric estimation of Hawkes processes based on ordinary least squares
Benjamin Poignard, Yoann Potiron
We develop a parametric estimation framework for self-exciting Hawkes processes whose intensity functions admit a parametric form. The estimation procedure is based on ordinary lea…
econ.EM2026
The realized copula of volatility
Kim Christensen, Wenjing Liu, Zhi Liu +1
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is…