Cryptos have rough volatility and correlated jumps
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DOI: 10.1007/s42521-025-00125-8
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More about this item
Keywords
Cryptos; Rough volatility; Jumps; Hurst exponent; Hawkes process;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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