Fake stationary rough Heston volatility: Microstructure-inspired foundations
This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime.
Mathieu Rosenbaum
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
This paper presents a new theory for the stationarity of stochastic Volterra integral equations.
emmanuel-gnabeyeu