Charlotte Dion (LPSM), le 27 novembre

Inference for a self-exciting jump diffusion
mercredi 18 novembre 2020
par  Eva Locherbach

We present a Hawkes jump-diffusion model. After focusing on the properties of the solutions of the process,
we investigate estimations of its coefficients : a drift coefficient, a volatility coefficient and a jump coefficient.
From discrete high frequency observations in a long-time horizon, nonparametric penalised mean-squares estimators are built
from increments of discrete observations. Finally, adaptive strategies are studied.