A GMM approach to estimate the roughness of stochastic volatility (Q6108276)
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scientific article; zbMATH DE number 7704472
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A GMM approach to estimate the roughness of stochastic volatility |
scientific article; zbMATH DE number 7704472 |
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A GMM approach to estimate the roughness of stochastic volatility (English)
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29 June 2023
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fractional Brownian motion
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GMM estimation
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Hurst exponent
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log-normal stochastic volatility
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realized variance
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roughness
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