Financial Point Processes

Abstract

This chapter provides the methodological background for the specification and estimation of financial point processes. We give a brief introduction to the fundamental statistical concepts and the basic ways to model point processes. For ease of introduction, we restrict our attention to non-dynamic point processes. In Sect.4.1, we discuss the most important theoretical concepts in point process theory. Here, the focus lies on the idea of the intensity function as a major concept in the theory of point processes. In Sect.4.2, different ways to model point processes are discussed. Section 4.3 is concerned with the treatment of censoring mechanisms and time-varying covariates. Section 4.4 gives an outlook on different ways to dynamically extend basic point process models.