IDEAS home Printed from https://ideas.repec.org/r/arx/papers/1905.04852.html
   My bibliography  Save this item

Is Volatility Rough ?

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
  2. Matthieu Garcin & Martino Grasselli, 2020. "Long vs Short Time Scales: the Rough Dilemma and Beyond," Papers 2008.07822, arXiv.org, revised Nov 2021.
  3. Wu, Peng & Muzy, Jean-François & Bacry, Emmanuel, 2022. "From rough to multifractal volatility: The log S-fBM model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  4. Angelini, Daniele & Bianchi, Sergio, 2023. "Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
  5. Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
  6. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).
  7. Yang, Wensheng & Ma, Jingtang & Cui, Zhenyu, 2025. "A general valuation framework for rough stochastic local volatility models and applications," European Journal of Operational Research, Elsevier, vol. 322(1), pages 307-324.
  8. Brandi, Giuseppe & Di Matteo, T., 2022. "Multiscaling and rough volatility: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 84(C).
  9. 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.
  10. Christian Bayer & Fabian Andsem Harang & Paolo Pigato, 2020. "Log-modulated rough stochastic volatility models," Papers 2008.03204, arXiv.org, revised May 2021.
  11. Kim, Hyun-Gyoon & Kim, See-Woo & Kim, Jeong-Hoon, 2024. "Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  12. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
  13. Giuseppe Brandi & T. Di Matteo, 2020. "On the statistics of scaling exponents and the Multiscaling Value at Risk," Papers 2002.04164, arXiv.org, revised Mar 2021.
  14. Matthieu Garcin & Martino Grasselli, 2022. "Long versus short time scales: the rough dilemma and beyond," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 257-278, June.
  15. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2022. "Short-dated smile under rough volatility: asymptotics and numerics," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 463-480, March.
  16. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
  17. Katsuto Tanaka & Weilin Xiao & Jun Yu, 2020. "Maximum Likelihood Estimation for the Fractional Vasicek Model," Econometrics, MDPI, vol. 8(3), pages 1-28, August.
  18. Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023. "Local volatility under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
  19. Antoniades, I.P. & Brandi, Giuseppe & Magafas, L. & Di Matteo, T., 2021. "The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  20. Ioannis P. Antoniades & Giuseppe Brandi & L. G. Magafas & T. Di Matteo, 2020. "The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool," Papers 2010.08890, arXiv.org, revised Dec 2020.
  21. Paul Hager & Eyal Neuman, 2020. "The Multiplicative Chaos of $H=0$ Fractional Brownian Fields," Papers 2008.01385, arXiv.org.
  22. Forde, Martin & Fukasawa, Masaaki & Gerhold, Stefan & Smith, Benjamin, 2022. "The Riemann–Liouville field and its GMC as H→0, and skew flattening for the rough Bergomi model," Statistics & Probability Letters, Elsevier, vol. 181(C).
  23. Christian Bayer & Eric Joseph Hall & Ra'ul Tempone, 2020. "Weak error rates for option pricing under linear rough volatility," Papers 2009.01219, arXiv.org, revised Dec 2021.
  24. Yicun Li & Yuanyang Teng, 2022. "Estimation of the Hurst Parameter in Spot Volatility," Mathematics, MDPI, vol. 10(10), pages 1-26, May.
  25. Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures," CREATES Research Papers 2020-12, Department of Economics and Business Economics, Aarhus University.
  26. Benjamin James Duthie, 2019. "Portfolio optimisation under rough Heston models," Papers 1909.02972, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.