Imagen de Portada

Rough volatility: evidence from range volatility estimators

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autor principal:	Mouti, Saad
Formato:	Preprint
Publicado:	2023
Materias:	Statistical Finance
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

A GMM approach to estimate the roughness of stochastic volatility
por: Bolko, Anine E., et al.
Publicado: (2020)

A nonparametric test for rough volatility
por: Chong, Carsten H., et al.
Publicado: (2024)

Statistical inference for rough volatility: Minimax Theory
por: Chong, Carsten, et al.
Publicado: (2022)

Quantifying neural network uncertainty under volatility clustering
por: Wong, Steven Y. K., et al.
Publicado: (2024)

Multifractality and sample size influence on Bitcoin volatility patterns
por: Takaishi, Tetsuya
Publicado: (2025)

What events matter for exchange rate volatility ?
por: Martins, Igor, et al.
Publicado: (2024)

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
por: Łabędzki, Mikołaj
Publicado: (2025)

From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk
por: Bianchi, Sergio, et al.
Publicado: (2025)

Why is the volatility of single stocks so much rougher than that of the S&P500?
por: Zarhali, Othmane, et al.
Publicado: (2025)

On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures
por: Wang, Zian, et al.
Publicado: (2024)

First-passage horizons in horizontal visibility graphs: a rank-invariant estimator of path roughness for rough volatility models
por: Sikorski, Michał
Publicado: (2025)

Dynamic graph neural networks for enhanced volatility prediction in financial markets
por: Kumar, Pulikandala Nithish, et al.
Publicado: (2024)

From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model
por: Zarhali, Othmane, et al.
Publicado: (2026)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
por: Han, Xiyue, et al.
Publicado: (2025)

To be or not to be: Roughness or long memory in volatility?
por: Bennedsen, Mikkel, et al.
Publicado: (2024)

Short-time expansion of characteristic functions in a rough volatility setting with applications
por: Chong, Carsten H., et al.
Publicado: (2022)

Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
por: Lee, Kyungsub
Publicado: (2022)

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
por: Takaishi, Tetsuya
Publicado: (2025)

Kullback-Leibler cluster entropy to quantify volatility correlation and risk diversity
por: Ponta, L., et al.
Publicado: (2024)

Calibrated rank volatility stabilized models for large equity markets
por: Itkin, David, et al.
Publicado: (2024)

An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition
por: de Vilmarest, Joseph, et al.
Publicado: (2023)

Critical volatility threshold for log-normal to power-law transition
por: Kremnev, Valerii
Publicado: (2026)

Multiscaling in the Rough Bergomi Model: A Tale of Tails
por: Brandi, Giuseppe, et al.
Publicado: (2026)

Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter
por: Tang, Siu Hin, et al.
Publicado: (2023)

When Frictions are Fractional: Rough Noise in High-Frequency Data
por: Chong, Carsten H., et al.
Publicado: (2021)

Rough volatility dynamics in commodity markets
por: Daluiso, Roberto, et al.
Publicado: (2026)

The fractional volatility model and rough volatility
por: Mendes, R. Vilela
Publicado: (2022)

Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
por: Han, Xiyue, et al.
Publicado: (2023)

Nonparametric Bayesian volatility learning under microstructure noise
por: Gugushvili, Shota, et al.
Publicado: (2018)

Rough PDEs for local stochastic volatility models
por: Bank, Peter, et al.
Publicado: (2023)

Memory, Roughness, and Information Persistence in Financial Markets: A Structural Approach to Volatility Forecasting
por: Deep, Akash, et al.
Publicado: (2026)

Reconciling rough volatility with jumps
por: Jaber, Eduardo Abi, et al.
Publicado: (2023)

Rough differential equations for volatility
por: Bonesini, Ofelia, et al.
Publicado: (2024)

Multifractality in Bitcoin Realised Volatility: Implications for Rough Volatility Modelling
por: Pontiggia, Milan
Publicado: (2025)

On the implied volatility of Inverse options under stochastic volatility models
por: Alòs, Elisa, et al.
Publicado: (2023)

On the implied volatility of Asian options under stochastic volatility models
por: Alòs, Elisa, et al.
Publicado: (2022)

Statistical inference for rough volatility: Central limit theorems
por: Chong, Carsten, et al.
Publicado: (2022)

Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes
por: Chudasama, Priyanka, et al.
Publicado: (2025)

Ultra-short-term volatility surfaces
por: Bandi, Federico M., et al.
Publicado: (2026)

Copula estimation for nonsynchronous financial data
por: Chakrabarti, Arnab, et al.
Publicado: (2019)