5 citations · 5 across the 5 of their papers we have counts for
4 papers · 1 filter
Robustness of Hilbert space-valued stochastic volatility models
Fred Espen Benth, Heidar Eyjolfsson
In this paper we show that Hilbert space-valued stochastic models are robust with respect to perturbation, due to measurement or approximation errors, in the underlying volatility…
Multivariate self-exciting jump processes with applications to financial data
Heidar Eyjolfsson, Dag Tjøstheim
The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that a…
Self-exciting jump processes and their asymptotic behaviour
Kristina Rognlien Dahl, Heidar Eyjolfsson
The purpose of this paper is to investigate properties of self-exciting jump processes. We derive the Laplace transform of SDE driven self-exciting processes with independent, iden…
Representation and approximation of ambit fields in Hilbert space
Fred Espen Benth, Heidar Eyjolfsson
We lift ambit fields as introduced by Barndorff-Nielsen and Schmiegel to a class of Hilbert space-valued volatility modulated Volterra processes. We name this class Hambit fields,…