We introduce the <I>Hawkes process with renewal immigration</I> and make its statistical estimation possible with two <I>Expectation Maximization</I> (EM) algorithms. The standard <I>Hawkes process</I> introduces <I>immigrant points</I> via a Poisson process, and each immigrant has a subsequent cluster of associated...</i></i></i></i>

The present paper presents a theoretical extension of our earlier work entitled“A comparative study of two models SV with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially a mixture stochastic volatility model providing a...

The present paper presents a theoretical extension of our earlier work entitled“A comparative study of two models SV with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially a mixture stochastic volatility model providing a...