Rough volatility: fact or artefact?
We investigate the statistical evidence for the use of ‘rough’ fractional processes with Hurst exponent H < 0.5 for modeling the volatility of financial assets, using a model-free approach. We introduce a non-parametric method for estimating the roughness of a function based on discrete sample, u...
| Main Authors: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
Springer
2024
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