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15-086/III - Specification Testing in Hawkes Models


  • Authors
    Francine Gresnigt, Erasmus University Rotterdam, the Netherlands; Erik Kole, Erasmus University Rotterdam, the Netherlands; Philip Hans Franses, Erasmus University Rotterdam, the Netherlands
  • Publication date
    July 24, 2015
  • Keywords
    Hawkes processes, specification tests, extremal dependence, financial crashes
  • JEL
    C12, C22, C32, C52