Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

Hawkes (1971a, 1971b, 1972) introduced a family of models for stochastic point processes
called 'self-exciting and mutually exciting point processes' the essential property of which …

This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

A Hawkes process is also known under the name of a self-exciting point process and has
numerous applications throughout science and engineering. We derive the statistical …

Hawkes processes are a particularly interesting class of stochastic process that have been
applied in diverse areas, from earthquake modelling to financial analysis. They are point …

We show that typical behaviors of market participants at the high frequency scale generate
leverage effect and rough volatility. To do so, we build a simple microscopic model for the …

This paper considers three measures of the systemic importance of a financial institution
within an interconnected financial system. The measures are applied to study the relation …

We define a numerical method that provides a non-parametric estimation of the kernel
shape in symmetric multivariate Hawkes processes. This method relies on second order …

The interest in forecasting the Value at Risk (VaR) has been growing over the last two
decades, due to the practical relevance of this risk measure for financial and insurance …

Because of their tractability and their natural interpretations in term of market quantities,
Hawkes processes are nowadays widely used in high-frequency finance. However, in …