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

Authors

Institutions

Publication Details

Journal
Econometric Reviews
Published
2024-11-06
DOI
https://doi.org/10.1080/07474938.2024.2409475
Citations
1
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
0.54
Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

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

Gilles de Truchis, Elena-Ivona Dumitrescu, Bernard Desgraupes
1 citations
Econometric Reviews
Financial Risk and Volatility Modeling
0.54
article

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

Gilles de Truchis, Elena-Ivona Dumitrescu, Bernard Desgraupes
article en
1 citations

Abstract

No abstract available for this paper.
Econometric ReviewsVol. 44(3)
Université Paris-Panthéon-Assas (FR), Université d'Orléans (FR), Université Paris Cité (FR), Université Paris Nanterre (FR), Laboratoire d’Économie d’Orléans (FR), Université Paris 1 Panthéon-Sorbonne (FR)
Openalex Percentile: Top 29%
Financial Risk and Volatility Modeling
0.54
DOISourceOpenAlex
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.