From rough to multifractal volatility: the log S-fBm model (Q2170609)
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scientific article; zbMATH DE number 7582106
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| English | From rough to multifractal volatility: the log S-fBm model |
scientific article; zbMATH DE number 7582106 |
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From rough to multifractal volatility: the log S-fBm model (English)
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6 September 2022
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rough volatility
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multifractal volatility
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fractional Brownian motion
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GMM estimation
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intermittency coefficient
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0.8908494
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0.87264895
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0.87063205
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0.8694261
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0.8690892
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0.8683362
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0.8679648
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0.8677795
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