Codes Multivariate Hawkes

Simulation   [Matlab] [Fortran]

Residual Test   [Matlab]

Likelihood [Matlab] [Fortran]

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)