5 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.RM2022★ 2 cited
Multi-Dimensional self-exciting NBD process and Default portfolios
Masato Hisakado, Kodai Hattori, Shintaro Mori
In this study, we apply a multidimensional self-exciting negative binomial distribution (SE-NBD) process to default portfolios with 13 sectors. The SE-NBD process is a Poisson proc…
cond-mat.stat-mech2021★ 5 cited
From the multi-terms urn model to the self-exciting negative binomial distribution and Hawkes processes
Masato Hisakado, Kodai Hattori, Shintaro Mori
This study considers a new multi-term urn process that has a correlation in the same term and temporal correlation. The objective is to clarify the relationship between the urn mod…