To be or not to be: Roughness or long memory in volatility?

Fuente: arXiv

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Bibliographic Details
Main Authors:	Bennedsen, Mikkel, Christensen, Kim, Christensen, Peter
Format:	Preprint
Published:	2024
Subjects:	Econometrics Mathematical Finance
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2403.12653