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Canonical Rough Path over Tempered Fractional Brownian Motion: Existence, Construction, and Applications

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  • Lechiheb, Atef

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  • Lechiheb, Atef, 2026. "Canonical Rough Path over Tempered Fractional Brownian Motion: Existence, Construction, and Applications," TSE Working Papers 26-1740, Toulouse School of Economics (TSE).
    • Handle: RePEc:tse:wpaper:131692
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    References listed on IDEAS

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    1. Camilla Damian & Rüdiger Frey, 2024. "Detecting rough volatility: a filtering approach," Quantitative Finance, Taylor & Francis Journals, vol. 24(10), pages 1493-1508, October.
    2. Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
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