A switching self-exciting jump diffusion process for stock prices

Donatien Hainaut1, Franck Moraux2
1ISBA, Université Catholique de Louvain, Voie du Roman Pays 20, 1348, Louvain-la-Neuve, Belgium
2Univ. Rennes, CNRS, CREM–UMR6211, IGR-IAE Rennes, 11 rue Jean Macé, 35000, Rennes, France

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