Work

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

Year: 2024

Type: article

Source: Econometric Reviews

DOI: 10.1080/07474938.2024.2409475

Authors: Gilles de Truchis, Bernard Desgraupes, Elena-Ivona Dumitrescu

Institutions: Université d'Orléans, Laboratoire d’Économie d’Orléans, Université Paris Nanterre, Modélisation aléatoire de Paris Nanterre, Université Paris-Panthéon-Assas

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4404151339

FWCI: 0.358

Cites: 81

Cited by: 1

Related to: 10