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The Zumbach Effect Under Rough...
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The microstructural foundations of leverage effect and rough volatility
El Euch, Omar
;
Fukasawa, Masaaki
;
Rosenbaum, Mathieu
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
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2
Forecasting volatility with machine learning and rough volatility : example from the crypto-winter
Tang, Siu Hin
;
Rosenbaum, Mathieu
;
Zhou, Chao
- In:
Digital finance : smart data analytics, investment …
6
(
2024
)
4
,
pp. 639-655
Persistent link: https://www.econbiz.de/10015177139
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Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
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Affine forward variance models
Gatheral, Jim
;
Keller-Ressel, Martin
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
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