Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process (Q2682955)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process |
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Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process (English)
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1 February 2023
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rough volatility
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fractional Ornstein-Uhlenbeck process
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Hurst parameter
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long memory
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anti-persistent errors
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out-of-sample forecasting
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ARFIMA
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