The microstructural foundations of leverage effect and rough volatility
Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
| Year of publication: |
April 2018
|
|---|---|
| Authors: | El Euch, Omar ; Fukasawa, Masaaki ; Rosenbaum, Mathieu |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 2, p. 241-280
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| Subject: | Market microstructure | High frequency trading | Leverage effect | Rough volatility | Hawkes processes | Limit theorems | Heston model | Rough Heston model | Volatilität | Volatility | Marktmikrostruktur | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0360-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945670