A0182
Title: Estimation of integrated intensity in Hawkes processes with time-varying baseline
Authors: Olivier Scaillet - University of Geneva and Swiss Finance Institute (Switzerland) [presenting]
Yoann Potiron - Keio University (Japan)
Seunghyeon Yu - KAIST (Korea, South)
Abstract: Transaction times are modelled as a Hawkes process with a time-varying baseline and a general kernel. The baseline is assumed to be the sum of a deterministic seasonal component and a stochastic It\^o semimartingale with possible jumps. In \emph{mixed} asymptotics, a nonparametric estimation of the integrated intensity is provided. In addition, the integrated intensity is decomposed as a sum of the contributions of the seasonal and random parts.
