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Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Options - 45 years since the publication of the …, (pp. 127-172). 2023

Persistent link: https://www.econbiz.de/10014366596

A new approach for the dynamics of ultra-high-frequency data : the model with uncertainty zones

Robert, Christian Yann; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 344-366

Persistent link: https://www.econbiz.de/10009125119

Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian motion

Podolskij, Mark; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 588-598

Persistent link: https://www.econbiz.de/10011987969

Volatility is rough

Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949

Persistent link: https://www.econbiz.de/10011910932

Statistical Inference for Rough Volatility : Central Limit Theorems

Chong, Carsten; Hoffmann, Marc; Liu, Yanghui; … - 2022

In recent years, there has been substantive empirical evidence that stochastic volatility is rough. In other words, the local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional Brownian motion with Hurst parameter H0.5. In this paper,...

Persistent link: https://www.econbiz.de/10014239108