From rough to multifractal volatility: The log S-fBM model
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DOI: 10.1016/j.physa.2022.127919
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Cited by:
- Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
- Ofelia Bonesini & Antoine Jacquier & Alexandre Pannier, 2023. "Rough volatility, path-dependent PDEs and weak rates of convergence," Papers 2304.03042, arXiv.org, revised Jan 2025.
- Rudy Morel & St'ephane Mallat & Jean-Philippe Bouchaud, 2023. "Path Shadowing Monte-Carlo," Papers 2308.01486, arXiv.org.
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Keywords
Rough volatility; Multifractal volatility; Fractional Brownian motion; GMM estimation; Intermittency coefficient;All these keywords.
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