The paper Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility by U. Horst, W. Xu and R. Zhang has been accepted for publication in Mathematical Finance.
The paper Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility by U. Horst, W. Xu and R. Zhang has been accepted for publication in Mathematical Finance.