Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - 2023
In this paper, we introduce a new large family of Lévy-driven point processes with (and without) contagion, by generalising the classical self-exciting Hawkes process and doubly stochastic Poisson processes with non-Gaussian Lévy-driven Ornstein-Uhlenbeck type intensities. The resulting...