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Scaling Limits for Heavy-tailed Hawkes Processes and the Microstructure of Rough Volatility
Diese Arbeit untersucht die Skalierungsgrenzwerte von Hawkes-Prozessen mit schweren Rändern als mikrostrukturelle Grundlage für Modelle rauer Volatilität. Zunächst beweisen wir die schwache Konvergenz für die Intensität einer Folge von fast instabilen Hawkes-Prozessen mit einem Kern mit schweren Rän
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