A GMM approach to estimate the roughness of stochastic volatility

Fuente: arXiv

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Bibliographic Details
Main Authors:	Bolko, Anine E., Christensen, Kim, Pakkanen, Mikko S., Veliyev, Bezirgen
Format:	Preprint
Published:	2020
Subjects:	Statistical Finance Statistics Theory
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2010.04610