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20162026
most citedDissecting cross-impact on stock markets: An empirical analysis

64 citations · 74 across the 8 of their papers we have counts for

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q-fin.TR2025

Multivariate Quadratic Hawkes Processes -- Part II: Non-Parametric Empirical Calibration

Cecilia Aubrun, Michael Benzaquen, Jean-Philippe Bouchaud

This is the second part of our work on Multivariate Quadratic Hawkes (MQHawkes) Processes, devoted to the calibration of the model defined and studied analytically in Aubrun, C., B…