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

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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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