Volatility is rough (Q4554473): Difference between revisions

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+The Distribution of Realized Exchange Rate Volatility
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+Modeling and Forecasting Realized Volatility
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+Log-infinitely divisible multifractal processes
@@ Property / cites work: Log-infinitely divisible multifractal processes / rank @@
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+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
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+Q4865042
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+Diffusion-type models with given marginal distribution and autocorrelation function
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+Theory of Financial Risk and Derivative Pricing
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+Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
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+Fractional {O}rnstein-{U}hlenbeck processes
@@ Property / cites work: Fractional {O}rnstein-{U}hlenbeck processes / rank @@
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+Estimation and pricing under long-memory stochastic volatility
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+Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
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+Affine fractional stochastic volatility models
@@ Property / cites work: Affine fractional stochastic volatility models / rank @@
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+Long memory in continuous-time stochastic volatility models
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+Q3400731
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+Long memory and regime switching
@@ Property / cites work: Long memory and regime switching / rank @@
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+FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL
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+The microstructural foundations of leverage effect and rough volatility
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+Arbitrage-free SVI volatility surfaces
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+Zero-intelligence realized variance estimation.
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+A simple nonlinear time series model with misleading linear properties
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Quadratic variations and estimation of the local Hölder index of a Gaussian process
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+Fractional Brownian Motions, Fractional Noises and Applications
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+Introduction to Econophysics
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+Q4350437
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+On some maximal inequalities for fractional Brownian motions
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+Linear estimation of self-similar processes via Lamperti's transformation
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+VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
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+Estimation of the volatility persistence in a discretely observed diffusion model
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+First order \(p\)-variations and Besov spaces
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+A new microstructure noise index
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