The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901)
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scientific article
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| English | The microstructure of stochastic volatility models with self-exciting jump dynamics |
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The microstructure of stochastic volatility models with self-exciting jump dynamics (English)
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20 December 2022
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stochastic volatility
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self-exciting jumps
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Hawkes process
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branching process
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affine model
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0.73663330078125
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0.727054238319397
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0.7212503552436829
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0.7183934450149536
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0.7175482511520386
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