A GMM approach to estimate the roughness of stochastic volatility

DOI10.1016/j.jeconom.2022.06.009arXiv2010.04610OpenAlexW4296126235MaRDI QIDQ6108276

Bezirgen Veliyev, Anine E. Bolko, Mikko S. Pakkanen, Kim Christensen

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.04610

zbMATH Keywords

fractional Brownian motion roughness Hurst exponent realized variance GMM estimation log-normal stochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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