A GMM approach to estimate the roughness of stochastic volatility
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Publication:6108276
DOI10.1016/j.jeconom.2022.06.009arXiv2010.04610OpenAlexW4296126235MaRDI QIDQ6108276
Bezirgen Veliyev, Anine E. Bolko, Mikko S. Pakkanen, Kim Christensen
Publication date: 29 June 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.04610
fractional Brownian motionroughnessHurst exponentrealized varianceGMM estimationlog-normal stochastic volatility
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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