Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (Q350696)
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scientific article; zbMATH DE number 6662301
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| English | Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes |
scientific article; zbMATH DE number 6662301 |
Statements
Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (English)
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9 December 2016
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Hawkes processes
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limit theorems
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nearly unstable processes
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heavy tail
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fractional stochastic equation
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fractional Cox-Ingersoll-Ross process
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volatility
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long memory
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0.8938381
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0.8895846
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0.8795923
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0.8793332
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0.87930155
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0.87905574
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0.8719442
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