A GMM approach to estimate the roughness of stochastic volatility

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A GMM approach to estimate the roughness of stochastic volatility

9 October 2020

Kim Christensen

Mikko S. Pakkanen

Bezirgen Veliyev

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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