Search Results - Raffaelli, Iacopo

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    Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data

    Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data by Raffaelli, Iacopo, Scotti, Simone, Toscano, Giacomo

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    Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales

    Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales by Martini, Claude, Raffaelli, Iacopo

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