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20182025
most citedElectricity intraday price modeling with marked Hawkes processes

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math.ST2018

Efficient volatility estimation in a two-factor model

Olivier Féron, Pierre Gruet, Marc Hoffmann

We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility…