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most citedOn Hawkes Processes with Infinite Mean Intensity

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q-fin.ST2025

A Nested Factor Model for Equity Markets: Reconciling Multifractal Stock Returns and Rough Index Volatilities

Othmane Zarhali, Cecilia Aubrun, Emmanuel Bacry +2

The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the…