A GMM approach to estimate the roughness of stochastic volatility (Q6108276): Difference between revisions

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Revision as of 13:57, 1 August 2024

scientific article; zbMATH DE number 7704472
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English
A GMM approach to estimate the roughness of stochastic volatility
scientific article; zbMATH DE number 7704472

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    A GMM approach to estimate the roughness of stochastic volatility (English)
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    29 June 2023
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    fractional Brownian motion
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    GMM estimation
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    Hurst exponent
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    log-normal stochastic volatility
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    realized variance
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    roughness
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