Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model: application to financial returns

Matthew F. Tomlinson, David Greenwood, Marcin Mucha-Kruczynski

We construct a two-tailed peak-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time seri…