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A GMM approach to estimate the roughness of stochastic volatility
9 October 2020
Anine Eg Bolko
Kim Christensen
Mikko S. Pakkanen
Bezirgen Veliyev
Re-assign community
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Papers citing
"A GMM approach to estimate the roughness of stochastic volatility"
6 / 6 papers shown
Title
A nonparametric test for diurnal variation in spot correlation processes
Kim Christensen
Ulrich Hounyo
Zhi Liu
34
0
0
05 Aug 2024
Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance
Xiyue Han
A. Schied
43
0
0
05 Jul 2023
Statistical inference for rough volatility: Central limit theorems
Carsten H. Chong
M. Hoffmann
Yanghui Liu
M. Rosenbaum
Grégoire Szymanski
80
18
0
03 Oct 2022
On the universality of the volatility formation process: when machine learning and rough volatility agree
M. Rosenbaum
Jianfei Zhang
OOD
AIFin
AI4TS
57
7
0
28 Jun 2022
Optimal estimation of the rough Hurst parameter in additive noise
Grégoire Szymanski
58
6
0
25 May 2022
Rough volatility: fact or artefact?
R. Cont
Purba Das
25
39
0
24 Mar 2022
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