A Hawkes model with CARMA(p,q) intensity

• Authors: Mercuri, L., Perchiazzo, A., and Rroji, E.
• Published: 2024
• Journal: Insurance: Mathematics and Economics, 116, 1-26.
• DOI: 10.1016/j.insmatheco.2024.01.007

Abstract: In this paper we introduce a new model, named CARMA(p,q)-Hawkes, as the Hawkes model with exponential kernel implies a strictly decreasing behavior of the autocorrelation function while empirical evidences reject its monotonicity. The proposed model is a Hawkes process where the intensity follows a Continuous Time Autoregressive Moving Average (CARMA) process. We also study the conditions for the stationarity and the positivity of the intensity and the strong mixing property for the increments. Furthermore, we present two estimation case studies based respectively on the likelihood and on the autocorrelation function.