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A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
We propose an extension of the [Formula: see text] -OU Barndorff-Nielsen and Shephard model taking into account jump clustering phenomena. We assume that the intensity process of the Hawkes driver coincides, up to a constant, with the variance process. By applying the theory of continuous-state bran...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7987553/ http://dx.doi.org/10.1007/s11579-021-00295-0 |