Financial Mathematics, Volatility and Covariance Modelling by Chevallier Julien; Guerreiro David; Saglio Sophie

Author:Chevallier, Julien; Guerreiro, David; Saglio, Sophie
Language: eng
Format: epub
Publisher: Taylor & Francis Group
Published: 2019-07-15T00:00:00+00:00

2.2 Compound Hawkes process (CHP)

In this section we give definitions of compound Hawkes process (CHP) and regime-switching compound Hawkes process (RSCHP). These definitions are new ones from the following point of view: summands are not i.i.d.r.v., as in classical compound Poisson process, but associated in a Markov chain.

Definition 5 (Compound Hawkes Process (CHP)). Let N(t) be a one-dimensional Hawkes process defined as above. Let also Xt be ergodic continuous-time finite state Markov chain, independent of N(t), with space state X. We write τk for jump times of N(t) and ; The compound Hawkes process is defined as

(7)

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.