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Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
[Multifactor Approximation of Rough Volatility Models]

Citations

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Cited by:

  1. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
  2. Sergio Bianchi & Daniele Angelini, 2025. "Randomized Kolmogorov-Smirnov Analysis of Volatility Roughness," Papers 2509.20015, arXiv.org, revised May 2026.
  3. Rama Cont & Purba Das, 2024. "Rough Volatility: Fact or Artefact?," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 86(1), pages 191-223, May.
  4. 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.
  5. Florian Aichinger & Sascha Desmettre, 2025. "Pricing of geometric Asian options in the Volterra-Heston model," Review of Derivatives Research, Springer, vol. 28(1), pages 1-30, April.
  6. Shi, Shuping & Yu, Jun & Zhang, Chen, 2024. "On the spectral density of fractional Ornstein–Uhlenbeck processes," Journal of Econometrics, Elsevier, vol. 245(1).
  7. Johannes Muhle-Karbe & Youssef Ouazzani Chahdi & Mathieu Rosenbaum & Gr'egoire Szymanski, 2026. "A unified theory of order flow, market impact, and volatility," Papers 2601.23172, arXiv.org, revised Feb 2026.
  8. Shuping Shi & Jun Yu & Chen Zhang, 2025. "Realized Volatility Forecasting: Continuous versus Discrete Time Models," Working Papers 202537, University of Macau, Faculty of Business Administration.
  9. Takaishi, Tetsuya, 2025. "Multifractality and sample size influence on Bitcoin volatility patterns," Finance Research Letters, Elsevier, vol. 74(C).
  10. Antoine Jacquier & Zan Zuric, 2023. "Random neural networks for rough volatility," Papers 2305.01035, arXiv.org, revised Feb 2026.
  11. Ofelia Bonesini & Antoine Jacquier & Aitor Muguruza, 2024. "Risk premium and rough volatility," Papers 2403.11897, arXiv.org, revised Dec 2025.
  12. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2023. "Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter," Papers 2311.04727, arXiv.org, revised Feb 2024.
  13. Carsten H. Chong & Viktor Todorov, 2024. "A nonparametric test for rough volatility," Papers 2407.10659, arXiv.org.
  14. Angelini, Daniele & Bianchi, Sergio, 2023. "Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
  15. Tetsuya Takaishi, 2025. "Multifractality and sample size influence on Bitcoin volatility patterns," Papers 2511.03314, arXiv.org.
  16. Othmane Zarhali & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2026. "From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model," Papers 2601.10517, arXiv.org.
  17. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François & Jayaraman, Sarath Kumar, 2025. "A general option pricing framework for affine fractionally integrated models," Journal of Banking & Finance, Elsevier, vol. 171(C).
  18. Tetsuya Takaishi, 2025. "Volatility time series modeling by single-qubit quantum circuit learning," Papers 2512.10584, arXiv.org, revised Apr 2026.
  19. Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
  20. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
  21. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Central limit theorems," Papers 2210.01216, arXiv.org, revised Jun 2024.
  22. Siu Hin Tang & Mathieu Rosenbaum & Chao Zhou, 2024. "Forecasting volatility with machine learning and rough volatility: example from the crypto-winter," Digital Finance, Springer, vol. 6(4), pages 639-655, December.
  23. Giuseppe Brandi & Tiziana Di Matteo, 2026. "Multiscaling in the Rough Bergomi Model: A Tale of Tails," Papers 2601.11305, arXiv.org.
  24. Othmane Zarhali & Cecilia Aubrun & Emmanuel Bacry & Jean-Philippe Bouchaud & Jean-Franc{c}ois Muzy, 2025. "Why is the volatility of single stocks so much rougher than that of the S&P500?," Papers 2505.02678, arXiv.org, revised Dec 2025.
  25. Huy N. Chau & Duy Nguyen & Thai Nguyen, 2024. "On short-time behavior of implied volatility in a market model with indexes," Papers 2402.16509, arXiv.org, revised Mar 2025.
  26. Tetsuya Takaishi, 2025. "Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets," Papers 2504.18960, arXiv.org.
  27. Yan, Tingjin & Yin, Jie & Wang, Ling & Wong, Hoi Ying, 2025. "4/2 rough and smooth," Journal of Banking & Finance, Elsevier, vol. 181(C).
  28. Brouty, Xavier & Garcin, Matthieu, 2024. "Fractal properties, information theory, and market efficiency," Chaos, Solitons & Fractals, Elsevier, vol. 180(C).
  29. Saad Mouti, 2023. "Rough volatility: evidence from range volatility estimators," Papers 2312.01426, arXiv.org, revised Sep 2024.
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