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...

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Detalles Bibliográficos
Autores principales: Bernis, Guillaume, Brignone, Riccardo, Scotti, Simone, Sgarra, Carlo
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7987553/
http://dx.doi.org/10.1007/s11579-021-00295-0

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