Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data
Crossref DOI link: https://doi.org/10.1007/s10479-022-04924-9
Published Online: 2022-08-23
Published Print: 2024-05
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Raffaelli, Iacopo
Scotti, Simone
Toscano, Giacomo http://orcid.org/0000-0002-1987-6470
Funding for this research was provided by:
Università degli Studi di Firenze
Text and Data Mining valid from 2022-08-23
Version of Record valid from 2022-08-23
Article History
Accepted: 15 July 2022
First Online: 23 August 2022