Detecting rough volatility: a filtering approach

DOI10.1080/14697688.2024.2399284MaRDI QIDQ7029718zbMATH OpenFDO

Authors Camilla Damian, Rüdiger Frey

Publication date 10 February 2025

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2024.2399284

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial markets (91G15)

Cites work

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• Volatility is rough

Cited in

(2)

• A survey of rough volatility
• To be or not to be: roughness or long memory in volatility?

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