Search Results - subject:"rough volatility"

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - In: Econometrics : open access journal 13 (2025) 1, pp. 1-17

-time limit. Such a finding is yet another endorsement of the recent and popular stylized fact known as rough volatility. …

Persistent link: https://www.econbiz.de/10015408198

Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015195169

Horvath, Blanka Nora; Jacquier, Antoine; Muguruza, Aitor; … - In: Finance and stochastics 28 (2024) 3, pp. 615-661

Persistent link: https://www.econbiz.de/10015130353

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015084279

Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024

Persistent link: https://www.econbiz.de/10015326256

Challet, Damien; Ragel, Vincent - In: Risks : open access journal 12 (2024) 6, pp. 1-10

also show that the single model with the smallest validation loss systemically outperforms rough volatility predictions for …

Persistent link: https://www.econbiz.de/10014636848

Damian, Camilla; Frey, Rüdiger - In: Quantitative finance 24 (2024) 10, pp. 1493-1508

Persistent link: https://www.econbiz.de/10015196937

Matas, Jan; Pospíšil, Jan - In: Annals of finance 19 (2023) 4, pp. 523-543

Persistent link: https://www.econbiz.de/10014448297

Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10013490954

Bonesini, O.; Callegaro, Giulia; Jacquier, Antoine - In: Quantitative finance 23 (2023) 12, pp. 1769-1792

Persistent link: https://www.econbiz.de/10014452470

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