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Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatility

Fuente: arXiv

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Bibliographic Details
Main Authors:	Garcin, Matthieu, Sawaya, Karl, Valade, Thomas
Format:	Preprint
Published:	2025
Subjects:	Methodology Statistical Finance Applications 60G18, 60G22, 60G25, 60G35, 60G52, 62M20
Online Access:	Acceder al recurso
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