Assessing volatility persistence in fractional Heston models with self-exciting jumps - Archive ouverte HAL
Journal Articles Econometric Reviews Year : 2024

Assessing volatility persistence in fractional Heston models with self-exciting jumps

Gilles de Truchis
  • Function : Author
Laboratoire d'Économie d'Orleans [2022-...]
Bernard Desgraupes
  • Function : Author
Elena-Ivona Dumitrescu
  • Function : Author

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Economics and Finance

Mélie HENAULT  : Connect in order to contact the contributor

https://univ-orleans.hal.science/hal-04797703

Submitted on : Friday, November 22, 2024-11:24:05 AM

Last modification on : Saturday, November 23, 2024-3:11:57 AM

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hal-04797703 , version 1 (22-11-2024)

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Gilles de Truchis, Bernard Desgraupes, Elena-Ivona Dumitrescu. Assessing volatility persistence in fractional Heston models with self-exciting jumps. Econometric Reviews, 2024, pp.1-37. ⟨10.1080/07474938.2024.2409475⟩. ⟨hal-04797703⟩

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