Assessing volatility persistence in fractional Heston models with self-exciting jumps
Gilles de Truchis, Bernard Desgraupes, and Elena-Ivona Dumitrescu
| Year of publication: |
2025
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|---|---|
| Authors: | Truchis, Gilles de ; Desgraupes, Bernard ; Dumitrescu, Elena-Ivona |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 44.2025, 3, p. 275-311
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| Subject: | Forecasting | fractional integration | jump | realized measures | stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2024.2409475 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015196602