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A GMM approach to estimate the roughness of stochastic volatility
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A GMM approach to estimate the roughness of stochastic volatility

Anine Eg Bolko
Kim Christensen
Mikko S. Pakkanen
Bezirgen Veliyev
ArXiv (abs)PDFHTML

Papers citing "A GMM approach to estimate the roughness of stochastic volatility"

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Title
Is Volatility Rough ?
Is Volatility Rough ?
M. Fukasawa
Tetsuya Takabatake
Rebecca Westphal
26
42
0
13 May 2019