Codes Multivariate Hawkes |
Residual Test [Matlab] EM Estimation (based on Halpin and De Boeck (2013)) [Matlab] [Fortran] Hessian Multivariate Hawkes log-likelihood [Matlab] [Fortran] MonteCarlo Program (EM Estimation) [Matlab] |
Codes Rounded Timestamp |
Monte Carlo (EM) [Fortran] |
All codes used in the paper (including cleaning, merging and classification codes) [Download] |
(Note that codes to deal with the data have to be modified in order to deal with the existence of different days and firms) |