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Title: Estimation of integrated intensity in Hawkes processes with time-varying baseline Authors:  Yoann Potiron - Keio University (Japan) [presenting]
Olivier Scaillet - University of Geneva and Swiss Finance Institute (Switzerland)
Seunghyeon Yu - KAIST (Korea, South)
Abstract: Transaction times are modeled as a Hawkes process with a time-varying baseline and a general kernel. The baseline is assumed to be the sum of a deterministic seasonal component and a stochastic It\^o semimartingale with possible jumps. In \emph{mixed} asymptotics, we provide a nonparametric estimation of the integrated intensity. In addition, we decompose the integrated intensity as a sum of contributions of the seasonal part, random part, etc.