Long versus short time scales : the rough dilemma and beyond
Matthieu Garcin, Martino Grasselli
| Year of publication: |
2022
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|---|---|
| Authors: | Garcin, Matthieu ; Grasselli, Martino |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 257-278
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| Subject: | Fractional Brownian motion | Intra-day data | Realized variance | Rough volatility | Time series | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-021-00358-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013380566