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

Bernard Desgraupes, Elena-Ivona Dumitrescu and Gilles de Truchis

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Date: 2025-01-03
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Published in Econometric Reviews, 2025, 44 (3), pp.275-311. ⟨10.1080/07474938.2024.2409475⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04797703

DOI: 10.1080/07474938.2024.2409475

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