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Is Volatility Rough ?
13 May 2019
M. Fukasawa
Tetsuya Takabatake
Rebecca Westphal
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Papers citing
"Is Volatility Rough ?"
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A GMM approach to estimate the roughness of stochastic volatility
Journal of Econometrics (J. Econometrics), 2020
Anine Eg Bolko
Kim Christensen
Mikko S. Pakkanen
Bezirgen Veliyev
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09 Oct 2020
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