Multivariate rough volatility

Ranieri Dugo, Giacomo Giorgio and Paolo Pigato

Year of publication:	[2024]
Authors:	Dugo, Ranieri ; Giorgio, Giacomo ; Pigato, Paolo
Publisher:	[Rom] : CEIS Tor Vergata
Subject:	stochastic volatility \| rough volatility \| realized volatility \| multivariate time series \| volatilityspillovers \| mean reversion \| Volatilität \| Volatility \| Zeitreihenanalyse \| Time series analysis \| Multivariate Analyse \| Multivariate analysis \| Stochastischer Prozess \| Stochastic process \| ARCH-Modell \| ARCH model \| Mean Reversion \| Mean reversion \| Theorie \| Theory

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