Persistent and Rough Volatility
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Cited by:
- Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun, 2022.
"Weak Identification of Long Memory with Implications for Inference,"
Economics and Statistics Working Papers
8-2022, Singapore Management University, School of Economics.
- Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers 2334, Cowles Foundation for Research in Economics, Yale University.
- Carsten H. Chong & Viktor Todorov, 2024. "A nonparametric test for rough volatility," Papers 2407.10659, arXiv.org.
- Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
More about this item
Keywords
Fractional Brownian motion; stochastic volatility; memory signature plot; long memory; asymptotic; variance-covariance matrix; rough volatility;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-12-07 (Econometrics)
- NEP-ETS-2020-12-07 (Econometric Time Series)
- NEP-ORE-2020-12-07 (Operations Research)
- NEP-SEA-2020-12-07 (South East Asia)
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