From rough to multifractal volatility: the log S-fBm model (Q2170609)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | From rough to multifractal volatility: the log S-fBm model |
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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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