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Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model
We construct a two-tailed peaks-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time series. We demonstrate its applicability by...
Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model
We construct a two-tailed peaks-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time series. We demonstrate its applicability by...