717 citations · 1.2k across the 10 of their papers we have counts for
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math.ST2016★ 5 cited
Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
Michael Eichler, Rainer Dahlhaus, Johannes Dueck
Hawkes (1971) introduced a powerful multivariate point process model of mutually exciting processes to explain causal structure in data. In this paper it is shown that the Granger…
math.PR2016★ 1 cited
Volatility Decomposition and Estimation in Time-Changed Price Models
Rainer Dahlhaus, Sophon Tunyavetchakit
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time v…