Fonseca, José Da; Zaatour, Riadh - In: Journal of Futures Markets 34 (2014) 6, pp. 548-579
<section xml:id="fut21644-sec-0001"> This study provides explicit formulas for the moments and the autocorrelation function of the number of jumps over a given interval for a self‐excited Hawkes process. These computations are possible thanks to the affine property of this process. Using these quantities an implementation of the...</section>