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2:00 pm
September 12 @ 2:00 pm - 3:00 pm CDT

Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR( ∞) processes and applications

via Zoom

Speaker: Prof. Zhenyu Cui, School of Business, Stevens Institute of Technology, Hoboken NJ Abstract: We establish a novel link between nearly unstable cumulative heavy-tailed integer-valued autoregressive (INAR(∞)) processes and the […]

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