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