Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model
José da Fonseca, Riadh Zaatour
Journal of Futures Markets, vol. 37, 2017, p. 260-285.

Clustering and Mean Reversion in a Hawkes Microstructure Model
José da Fonseca, Riadh Zaatour
Journal of Futures Markets, vol. 35, 2015, p. 813-838.

Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit
José da Fonseca, Riadh Zaatour
Journal of Futures Markets, vol. 34, 2014, p. 548-579.