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"Hawkes-driven stochastic volatility models: goodness-of-fit testing of ..."

Iacopo Raffaelli, Simone Scotti, Giacomo Toscano (2024)

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DOI: 10.1007/S10479-022-04924-9

access: open

type: Journal Article

metadata version: 2024-06-08

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Iacopo Raffaelli, Simone Scotti, Giacomo Toscano:
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data. Ann. Oper. Res. 336(1-2): 27-45 (2024)

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