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Persistent and Rough Volatility

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-319-10064-7_12openalex-extracted

Spatial Process Simulation

inferredcites →https://doi.org/10.1007/978-3-540-70847-6_5openalex-extracted

Ambit Processes; with Applications to Turbulence and Tumour Growth

inferredcites →https://doi.org/10.1007/978-3-540-71297-8_14openalex-extracted

Stochastic Volatility Models with Long Memory

inferredcites →https://doi.org/10.1007/978-3-642-17254-0_15openalex-extracted

Simulation-Based Estimation Methods for Financial Time Series Models

inferredcites →https://doi.org/10.1007/s11203-013-9085-yopenalex-extracted

Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process

inferredcites →https://doi.org/10.1016/0165-1765(94)90026-4openalex-extracted

A note on calculating the autocovariances of the fractionally integrated ARMA models

inferredcites →https://doi.org/10.1016/0304-4076(92)90084-5openalex-extracted

Maximum likelihood estimation of stationary univariate fractionally integrated time series models

inferredcites →https://doi.org/10.1016/0304-4076(95)01735-6openalex-extracted

Long memory continuous time models

inferredcites →https://doi.org/10.1016/0304-4076(95)01736-4openalex-extracted

Modeling and pricing long memory in stock market volatility

inferredcites →https://doi.org/10.1016/0927-5398(93)90006-dopenalex-extracted

A long memory property of stock market returns and a new model

inferredcites →https://doi.org/10.1016/b978-075066942-9.50018-2openalex-extracted

Long memory in stochastic volatility

inferredcites →https://doi.org/10.1016/j.jeconom.2004.08.015openalex-extracted

The distance between rival nonstationary fractional processes

inferredcites →https://doi.org/10.1016/j.spa.2007.09.004openalex-extracted

Estimation of the volatility persistence in a discretely observed diffusion model

inferredcites →https://doi.org/10.1016/s0304-4076(95)01749-6openalex-extracted

Fractionally integrated generalized autoregressive conditional heteroskedasticity

inferredcites →https://doi.org/10.1016/s0304-4076(97)00072-9openalex-extracted

The detection and estimation of long memory in stochastic volatility

inferredcites →https://doi.org/10.1016/s0304-4076(98)00016-5openalex-extracted

Estimation of stochastic volatility models via Monte Carlo maximum likelihood

inferredcites →https://doi.org/10.1016/s0304-4076(99)00079-2openalex-extracted

Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

inferredcites →https://doi.org/10.1016/s0378-3758(98)00245-6openalex-extracted

Alternative forms of fractional Brownian motion

inferredcites →https://doi.org/10.1016/s0927-5398(00)00002-5openalex-extracted

Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market

inferredcites →https://doi.org/10.1016/s0927-5398(02)00072-5openalex-extracted

Univariate and multivariate stochastic volatility models: estimation and diagnostics

inferredcites →https://doi.org/10.1016/s1573-4412(84)02012-2openalex-extracted

Chapter 20 Continuous time stochastic models and issues of aggregation over time

inferredcites →https://doi.org/10.1017/cbo9780511753978.020openalex-extracted

A Long Memory Property of Stock Market Returns and a New Model

inferredcites →https://doi.org/10.1080/07350015.2020.1855187openalex-extracted

A Stochastic Volatility Model With a General Leverage Specification

inferredcites →https://doi.org/10.1080/14697688.2015.1099717openalex-extracted

Pricing under rough volatility

inferredcites →https://doi.org/10.1093/0198774753.001.0001openalex-extracted

Simulation-based Econometric Methods

inferredcites →https://doi.org/10.1093/biomet/68.1.165openalex-extracted

Fractional Differencing

inferredcites →https://doi.org/10.1093/biomet/84.3.653openalex-extracted

Likelihood analysis of non-Gaussian measurement time series

inferredcites →https://doi.org/10.1093/biomet/84.3.669openalex-extracted

Monte Carlo maximum likelihood estimation for non-Gaussian state space models

inferredcites →https://doi.org/10.1111/1467-937x.00050openalex-extracted

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

inferredcites →https://doi.org/10.1111/1467-9868.00336openalex-extracted

Econometric analysis of realised volatility and its use in estimating stochastic volatility models

inferredcites →https://doi.org/10.1111/1467-9892.00275openalex-extracted

A note on calculating autocovariances of long‐memory processes

inferredcites →https://doi.org/10.1111/1467-9965.00057openalex-extracted

Long memory in continuous‐time stochastic volatility models

inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-extracted

Modeling and Forecasting Realized Volatility

inferredcites →https://doi.org/10.1111/j.1467-9892.1980.tb00297.xopenalex-extracted

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02722.xopenalex-extracted

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

inferredcites →https://doi.org/10.1111/mafi.12354openalex-extracted

Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics

inferredcites →https://doi.org/10.1137/1010093openalex-extracted

Fractional Brownian Motions, Fractional Noises and Applications

inferredcites →https://doi.org/10.1137/1115050openalex-extracted

The Invariance Principle for Stationary Processes

inferredcites →https://doi.org/10.1198/016214501750332965openalex-extracted

The Distribution of Realized Exchange Rate Volatility

inferredcites →https://doi.org/10.2139/ssrn.1142823openalex-extracted

Local Polynomial Whittle Estimation of Perturbed Fractional Processes

inferredcites →https://doi.org/10.2139/ssrn.2846756openalex-extracted

Decoupling the Short- and Long-Term Behavior of Stochastic Volatility

inferredcites →https://doi.org/10.2307/1270070openalex-extracted

Time Series: Theory and Methods

inferredcites →https://doi.org/10.1080/14697688.2017.1393551openalex-snapshot

Volatility Is Rough

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1016/j.jeconom.2026.106193openalex-snapshot

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

inferred← citeshttps://doi.org/10.1080/01621459.2025.2495316openalex-snapshot

Nonparametric Test for Rough Volatility

inferred← citeshttps://doi.org/10.2139/ssrn.4140818openalex-snapshot

Weak Identification of Long Memory with Implications for Inference

inferred← citeshttps://doi.org/10.2139/ssrn.4660138openalex-snapshot

A nonparametric test for rough volatility

inferred← citeshttps://doi.org/10.2139/ssrn.4791807openalex-snapshot

Composite Likelihood Estimation Of Stationary Gaussian Processes With a View Toward Stochastic Volatility

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