Pages that link to "Item:Q6108276"
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The following pages link to A GMM approach to estimate the roughness of stochastic volatility (Q6108276):
Displaying 6 items.
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
- On the universality of the volatility formation process: when machine learning and rough volatility agree (Q6549691) (← links)
- Statistical inference for rough volatility: central limit theorems (Q6591582) (← links)
- Statistical inference for rough volatility: minimax theory (Q6621523) (← links)
- Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes (Q6635577) (← links)
- On the spectral density of fractional Ornstein-Uhlenbeck processes (Q6664662) (← links)
