Detecting rough volatility: a filtering approach

Camilla Damian^*, Rüdiger Frey

^*Corresponding author for this work

Institute for Statistics and Mathematics

Publication: Scientific journal › Journal article › peer-review

1 Working Paper/Preprint

1 results

2023

Detecting Rough Volatility: A Filtering Approach
Damian, C. & Frey, R., 24 Feb 2023.
Publication: Working/Discussion Paper › Working Paper/Preprint

Open Access
File

33 Downloads (Pure)